I purchased Arcanum because I have heard lots of great things about it... and some not-so-great things, as is the case with pretty much every game out there. However, I'm starting to feel as if I'm missing something.
Simply put, I'm not sure where everyone seems to be deriving the immense enjoyment from this game. I'm a sucker for in-depth character creation, so I thoroughly enjoyed whipping up my character. However, I'm also the kind of gamer that can hardly bear the possibility that I didn't allocate my stat points ideally, a compulsion that is not helped by Arcanum's somewhat abstract stat system.
Question 1: What do the stats actually do? As in, the manual makes every stat sound pretty important but I just am trying to find out what makes 7 Beauty different from 10 Beauty, and if my mage should focus in Willpower, Intelligence, or on purchasing spells.
Another thing that I'm trying to grasp is the combat system. I can vaguely see its appeal, as it can be pseudo-tactical when necessary but you also don't have to stop the game entirely to kill a few rats.
Question 2: Is the real-time combat really supposed to be that fast? I've never seen anyone fire an arrow that quickly, or swing a sword with such amazing speed.
Question 3: Turn-based combat is rather unsatisfying. Are there supposed to be sound effects for when my hits connect? As it is, I can hardly tell a hit from a miss if I'm not closely watching health bars.
Question 4: Is there any sort of combat log, a la Fallout's delightfully droll little box where you can see some numbers?
I may come up with some more questions later, but these are my main issues. I'm loving the gameworld and I'm somewhat upset to see that there aren't many steampunk games around. Oh yeah;
Question 5: Does anyone know of any good steampunk games? :) I've played Steamband but I loathe Angband and all of its derivatives.
Thanks in advance to anyone who takes the time to sift through this whiny wall of questions. :)

First off: combat.
Combat is not very satisfying in Arcanum, at least not in early game where things are less tactical. I suggest you primarily play turn-based, but switch to real-time in easy fights like against small rats (you can change between TB and RT on the fly with the space bar). Each weapon in Arcanum makes a different sound whenever you hit your enemy or not, you just have to learn to notice the difference as you go along. And yes, RT is really fast in Arcanum for some reason.
The "combat log" in Arcanum comes from small floating text over characters in battle. You can turn on this text and choose the speed of it in the options menu.
Stats in Arcanum are where things get really interesting. In fact, almost all the stats are really useful, so it’s always hard to choose what to focus on. Even if you already have decided to be a mage, there are still a thousand ways to become one.
Beauty is maybe one of the lesser interesting stats, at least if you play a good character. Beauty gives you a bonus to reaction from other people when you first meet them. This usually means that if you have a high beauty you can gain respect and speak to NPC who otherwise would have disliked you for reasons like good/evil alignment or Magick/tech aptitude. I know also of at least one quest who can only be initiated if your beauty is high enough. Note that beauty will never help you make NPC`s from a different alignment join your party (they will resist to join because of alignement, regardless of how much they like you). Putting on a nice suit before meeting someone for the first time can have similar effect to a few extra points in beauty.
As for tips on how to build your mage, it depends on what you want to focus on. If you want to be a pure spellcasting combat mage I would maybe go for primarily purchasing spells and raising at least some constitution. Then only put points into willpower and intelligence when my spell shopping required me to do so (at the end of the day you would have a high IN and WP of at least 18, good enough for a mage).
However when I played Arcanum as a mage I sacrificed high fatigue (constitution) and spell diversity for a bit of melee power and lockpicks (master melee and disintigrate spell is a deadly combination)
I also had a reasonably high charisma and persuasion, something you should always have in Arcanum if you enjoy non combat quests.
Where are you in the game now? Because this game is a slow grower. It took me at least 1/3 of my first play through before i really enjoyed Arcanum, but once I did it was one of the best games ever for me. Even above fallout 1 and 2!

Good questions. I'm no expert on the game (haven't completed it yet) but maybe I can add a bit.
I prefer to leave combat set on turn-based since it'll let me maximize the amount of whacks that I get in, compared with my followers. While you get some experience for the kills your followers take, you get more for making your own hits and kills. Because of this, I'll sometimes use the F5 command to tell my followers to stay back out of the fight so I can get all of the XP for any given battle. Be sure to use F2 to tell them to fight again when you encounter tougher battles.
Another thing about the XP from battles is that your followers level-up at the same time as your character, so they actually benefit MORE by doing less since you will level up faster and they will, too. They don't directly benefit from their own kills since their experience goes up right along with yours and they level at the same time as you. It's somewhat counter-intuitive but the more your followers do, the less progress they (and you) make towards leveling.
If you mouse-over the stats you'll see what the stats do in general. If you mouse over the spells and skills, you'll see which stat each one is based on, along with the minimum stat level required for each advancement in that skill or spell school. For instance, Melee and Dodge are both based on DEX. To get to the higher levels of Melee and Dodge, you'll need an increasingly higher DEX score. You'll eventually make decisions on whether you need to increase your stats to enable you to reach higher levels of a skill or spell school, or if you'd rather get by at lower levels but with a wider variety of spells / skills.
From what I can tell, DEX, INT, PER, and WP will have the largest effect on your character himself (they seem to affect the most spells / skills), but CHA has a very large bearing on how the game will play out as it affects NPC reactions and the quests you're offered. That's not to say that you need a high CHA to get the most from the game, but only that you can essentially play two very different games just by having a different CHA stat from one play-through to the next.