It is also of no small importance. First of all, you need to remember about repairing damaged items at the blacksmiths'. Secondly, it's best to be influenced by the price (assuming you want a certain item) to decide which of the two, e.g. armors, is better. Your character can wear helmets, spaulders, bracers, armors, leggings, boots and amulets, rings, etc. - in general, you should try to use each slot where you can equip an item.
At this point, two things are worth mentioning. The first are the Elf-stones that increase the statistics (some can boost them really high). They can also be put into some special items. If you slot such a stone into an item for the first time, you'll unlock the [ACHIEVEMENT] Gem-studded.
Another issue are the armor sets. It is hard to find a complete set, because the items in chests and hiding places are generated at random. That is why, don't sell any items which belong to a particular set, and at each merchant's (it doesn't matter if it's an NPC, or a teleport) look through the items and buy those that belong to some set. Naturally, if you already have a set, you don't need to follow this guideline. If you manage to complete and equip a magical armor set, you'll unlock the [ACHIEVEMENT] Well-arrayed.
Lastly, there are some general tips. Destroy all crates and barrels, and search all heaps of items. You will find missiles (arrows or bolts), potions (healing or power regenerating), coins, items that can be sold, etc. Try - before you spend any money - to gather 25 000 gold coins, which will result in unlocking the [ACHIEVEMENT] Dragon-hoard. Additionally, try to return to levels to discover all the secrets. If you discover 25, you will unlock the [ACHIEVEMENT] Seeker.