Experience points will let you obtain new levels. As you reach level 5, you will also receive your first skill point. From now on, each new level will give you an additional point. The first one will have to be spent on the Action Skill. It's a special skill, unique for each character. In the brackets you will find the cooldown time.
Sabre Turret (42 seconds) - a stationary turret which will automatically attack nearby enemies for a given time or until it gets destroyed. When there are no enemies around, it is worth to "take it" by pressing E (by default) while nearby. That way you will shorten the cooldown time.
DecapitiOn (13 seconds) - you create a hologram of yourself and become invisible for a couple seconds. The longer you remain in that state, the more powerful your next attack will be. However if you decide to exit invisibility sooner, it will shorten the cooldown time.
Phaselock (13 seconds) - locks an enemy inside a special sphere which slows him down for some time. Some enemies are resistant to this skill and will only receive damage if you use it against them.
Gunzerking (42 seconds) - you can use two weapons at the same time. While it this state you regain 50% of your health, receive less damage and regenerate ammunition and health.