I'm enjoying the game, but I think I screwed up the start, I didn't really do anything before defeating the hydra right at the start of the game and went right on with the escort quest to what I'm guessing is one of the main hubs in the game.

I'm having a hard time getting out of the city now, pretty much everything is killing me outside the city, from what I've been reading I'm under leveled but I'm trying not to read too much about the game, I'm just dying a lot, most stuff is either too easy or one shotting me, seems to be the nature of the game, I just can't seem to find the right path.

The game does a piss-poor job of bringing attention to those early game quests that expire once you reach Gran Soren, so I don't blame you for missing them since I did too on my first playthrough. IIRC, there are a handful of quests early on that aren't all that combat heavy, so you can do those before getting into the harder stuff. A FAQ wouldn't be remiss, just to know where those quests actually are.

I would, just to do those early game quests. It will go a lot more quickly and you'll be back where you started in no time

Start of the game is pretty rough, I also died a lot. Assuming you're getting killed by the bandits in the cave/on the hill?

Don't think a restart is required, you can pop back to the first town and do some of the easy stuff there. Could also drop the game down to easy and get some good (healing?) pawns while you find your footing, then put it back to normal when you're comfortable.

Some classes seem a little more underpowered than others too.

My first playthrough I missed all those quests and was pretty much unawares of their existence. It did not hamper my enjoyment of the game in the least I don't think. DD is kind of a game where you need to butt your head against the wall for a while until you get into your stride. You could restart if you want to redo those quests, it probably won't take too long.

If you do decide to restart because you missed some stuff I'd recommend reading a walkthrough as there is a bunch of stuff you can miss.

I'd say you should just keep going. The game is tough at the start.

I restarted and breezed through everything up to Gran Soren, I didn't miss as much as I thought I did, but I'm level 11 now vs level 7 last time and I have $40k gold vs almost nothing last time so I think I'm in pretty good shape now.

@kidavenger: Well, the start up of a fresh character is always rough in DD. Although, if you're up for it I'd recommend trying to do as many quests as possible. Don't bother with the escort quests though. Those are just silly and the rewards aren't that great but most of the actual quests will give you usually decent amounts of gold and experience.

Also, take note that the way the level stat gains happen.

http://dragonsdogma.wikia.com/wiki/Stat_Growths

They start to skyrocket above level 10 then cut off almost entirely after lvl 100. If you have a specific build in mind you might want to map out how you want to spend your time. You won't be unable to complete the game or anything but a solid build will give you an easier time especially when dealing with Post-game and Bitter Black Isle stuff.

Its also useful to level up a vocation just long enough to get some of its skills as some skills can be equipped by other vocations but only learned by specific ones.