You're not giving us a lot to go on, but briefly:
Play on Normal your first time.
Pick one kind of offense: crossbow, guns, swords, knives, fists, psi, etc. Build your character around that, with perhaps some Throwing for grenades (an occasional grenade is good for everybody). Do not try a hybrid on your first play through.
Make sure the primary attribute for your offense is a 9 or a 10. Usually this is clear, in some cases you might have to choose between STR and DEX.
Keep your CON at 5 or higher. Don't go low CON on your first play through.
Stealth is very powerful in Underrail, because it (often not always) lets you start combat on your terms. Fun, too. If you don't use stealth, consider a high CON character and/or heavy armor.
Do not spread your skill points too thin. You can spread them out a little, but not too much. You can successfully support 10-12 skills, but not more than that. Trying to support 15-20 skills will ruin your character: it will just fail at everything it tries to do. Your primary offense skill should be maxed every level.
Your feats are the most important part of your build. They're what really define your character. Pick feats that support your core character concept. Most character concepts will have one or two feats that are just crucial for making the build work. (Some have several.) Don't pick feats willy nilly. You can click a "show all" checkbox on the feats tab to see other feats that you can't get yet, and plan your future character development. You can also use
https://underrail.info/build/ to plan your build. Sometimes important feats have attribute requirements that you'll need to plan in advance. On your first playthrough this can be tricky (see my next remark) but if you are looking ahead a little and think "that sounds awesome" it probably is and you should plan around getting it.
You may want to restart after you've played for a while. There's a lot to learn in Underrail, and you'll be able to make a more effective character after you've learned the ropes a little. But you can probably take your starting character through to the end if you're persistent.
FYI, the Let's Plays forum is really for people sharing the play through of their game as they go along. This would have been fine in the General forum or, once you had some ideas, in Builds. I will say, if you want to play unspoiled, you may want stay out of Builds. People there will be happy to spec out a character for you to the very last detail, but I think it's more fun to figure it out for yourself.
It's a great game. Have fun.
