There's a MILLION things you need to know, and for 4 years I've been dishing the goods. I don't really know where to start, so help me out here:
What class are you?
How far are you?
General tips: Do not auto salvage ANYTHING unitl you get the achievos for item drops. The items/blueprints don't count if they get auto slagged.
Keep an eye out for arenas...if you can survive them (the only hard ones are Ice Forest) you will get level-exclusive gear...which is usually better (and better looking) than the stuff dropping from enemies.
There are 4 levels, and the second one, Ice Forest, is a beast. Your first time through it is very arduous. It does get better, believe me.
There is a too human wikia that you should check out to learn about status ailments (beware yellow) and all "poison" effects can be avoided by dodging at the moment of "tick" damage (you cannot take damage while in a roll).
Once you hit level 50, I can tell you how to grind for gear. It involves resetting the moment you kill the first boss (1-3) and loading 3-4 in the World Serpent to a certain point and exploiting a glitch of sorts. Only works with guns, though, so your mileage my vary.
Ill reiterate checking the wiki. Especially for a description of runes and charms.
As far as gameplay goes, currency (bounty) can be pretty hard to come by in the early game. I wouldn't splurge on that fancy piece of armor unless you REALLY need an upgrade since you will likely find something better in the verry near future. Although the loot gods CAN be cruel at times...
Lastly don't be afraid to ask questions here. A few of us still drop by from time to time to check on the goings-on but your question may sit dormant for a day or two... at least you won't have to bump it ;)