Well, look at it like this: bandits had a lifetime of combat training, while you're just some dude who just decided that he'd like to be a hero. They're bound to be stronger than you are.
Many adventure mode players grind up their swimming, sneaking or throwing skills, but I think that's boring.
There are a few things that I usually try in the beginning, and if you keep a those in mind, surviving will be a lot easier.
I normally play as a hero, with high agility, above average strength, toughness and willpower and good dodging and shield skills. The other skills don't matter as much. If you can dodge hits (and especially arrows), many problems are solved. Still, I try to get the best armor (and weapons of course) that I can - just in case - usually by looting keeps and fortresses. Shops mostly don't have any good stuff, and tombs aren't worth the risk in my opinion.
And obviously, get as many companions as you can. I don't care much for their weapons.
Then, it's important to find the right enemies. Vampires and werebeasts are always great for beginners. Vampires are generally pretty strong, so if you want to become one yourself, drink vampire blood. The downside is that you'll have to drink blood every day or so.
You could also try to hunt wildlife, but again, I think that's boring.
If you get ambushed, run. Most bandits and especially goblins are too strong for you in the beginning, and when they ambush you, they have a superior position. Forget your companions, hide behind a tree and sneak away.
If I don't get a quest for vampires or werebeasts, I usually visit the dungeon under the keep and sneak around down there. You always find some bandits, and they are easier to fight if your companions run ahead and you don't get detected because you're sneaking. Also, ranged combatants aren't as strong in enclosed spaces.
I've had mixed experiences with fighting night creatures. They are always great wrestlers, but you can overwhelm them with enough companions. In my experience, every night creature has a weak spot at the lower body: they get bisected really fast.
When you're a bit more confident in your abilities, you can try to clear bandit camps. It's important to have a few companions - the more the merrier. Don't try to be heroic and charge into battle - let your companions have the arrows in their bodies. Make use of sneaking, try to get close before revealing yourself to the archers. I also like to throw arrows or bolts at dangerous enemies, but you'll have to find your own style there.
And, most important, some bandit groups are stronger than others. If you meet a bandit group filled with archers or with weapon masters, retreat. Being alive is more important than being heroic.
So, in conclusion, there is not much to it. Just be aware of the strength of your enemies, bring many companions, use the terrain, and don't be afraid of retreating.