The topic *might* be slightly misleading as I'm a newbie myself to this game, but I've played it long enough now to know that there is a good possibility that you're very angry at this game right now. The first characters available to you are fairly weak, with not the best gear, and there are no tips as to which quest you might want to pick as some are harder than others. Know this... just play the game for awhile, and know that dying is helping you get closer to your goal.
After you die roughly 20 times, than some additional characters will unlock. The one that I have found pretty useful is the Amazon as she has a Divine Bow which will randomly give you more health, or increase your attack damage and to hit stat. That's pretty helpful.
If there was a quest I would suggest you try to complete with her, it would be the mask of the boy king. The enemies seem pretty spread out, and if you play carefully, you should be able to eliminate most of them at range. Pick up an alternate bow along the way, or another weapon that is silver and those can be helpful for the enemies you come across that are resistant to divine damage.
When you complete the quest, you then have a chance that on every new game, your character will start with a special item that will make the quest easier. There are something like 30+ characters to unlock in the game as well so... there is a fair amount of content in there, but it is buried beneath a layer of information that isn't available anywhere except by playing or on the forums (which right now have a lot of people screaming about how the game is broken because it is too hard).
If you've got any more tips to help out new players, you might as well share them below!