Hi,

can anyone give me some tips about how to play Daggerfall right?

I already died several times in the first tutorial dungeon! It's really frustrating. Monsters like grizzly bears or elves are too hard to beat for a low level character in my opinion. They hit me twice and I'm dead.

Currently I'm playing a battlemage on average difficulty.

Thanks for that advice. I'm going to try it.

Whoooohooo! I bet the first dungeon. https://youtu.be/tcGQpjCztgA?t=6s

Here's another hint for when you go exploring the game's many procedurally generated dungeons:

Make a slowfall spell; this will help should you end up falling out of bounds. (Joining the Mage's Guild allows you to make custom spells and is highly recommended.)

Should you fall out of bounds in a dungeon, do the following:
1. Cast Slowfall. This will prevent falling damage.
2. Press Alt-F11. This will return you to the last place you were on solid ground. Without Slowfall, this will trigger falling damage that will likely kill you.

Alternatively, you could cast a Levitate spell after Slowfall and try to finish the quest from out-of-bounds, but, of course, you will also need to figure out how to exit the dungeon. Levitate, while useful, doesn't prevent falling damage if you are already falling when you cast the spell.

Also, as this game is known to be buggy, save early, often, and in multiple slots.

Good advice - and not only because of the bugs: You may run into opponents you can't defeat, or you simply lose a fight because you made a mistake.
To be honest, I had to reload a lot more often because of the last two reasons than because of bugs.

And while we are talking about the huge randomly generated dungeons: There is not only Alt-F11 to get out of the Void bug (I use it without Slowfall and without getting killed most of the time), you can also use the [ and ] keys to cycle you through the interesting dungeon locations. These keys are normally considered cheats, but I don't quite agree.
I use them occasionally for two reasons: Firstly (and this may count as cheating), when I can't find the quest object for a very long time, and simply don't want to go through the huge confusing dungeon one more time just to look for a little room or a secret door I may have missed.
And secondly, to play the game by a different rule: I enter the dungeon, jump immediately to the interesting locations until I find the quest object, and from there I try to find my way out without using the cheat keys anymore (don't use the automap if you are interested in a real challenge!). There is not only the issue that the exit may be difficult to find, but these "interesting locations" are normally well-guarded, so you are likely to jump right into a fight without knowing the location, and you may be hit once or twice before you can react adequately. Or you meet enemies which are too strong for you and you can't run away from in time.
(I haven't played Daggerfall in this way for quite some time, but it may be possible that you can't get to the exit from all the interesting locations, because of doors which are opened from the other side or so - in this case you will have to jump to another place and try again, I don't remember that I have ever been completely unable to get out).

About the dungeons, what did the developers think when they created this kind of dungeon and automap. When I play RPGs I want to concentrate on developing my character, not finding the bloody exit.
Honestly I feel like a rat running a maze, not like a hero...

The development of the Elder Scrolls dungeons is an interesting subject. Arena had 8 fixed not-too-big dungeons which were essentially 2-dimensional (with several levels), Daggerfall 12 fixed huge and an unlimited number of random 3-dimensional dungeons of varying sizes, Morrowind's dungeons were tiny, Oblivion's somewhat bigger, etc.
For Daggerfall, the developers created a construction set plus a dungeon construction software which could compose various elements of the set to a random dungeon in 3 dimensions (today you would call these dungeons procedurally created persistent dungeons), and they also offered an automap showing 2-dimensional horizontal slices with vertical shifting.
The result was "overwhelming", in the truest sense of the word :-). Most players never managed to cope with the challenges these dungeons presented, lost orientation, were frustrated because of the Void bug and other problems. There was also a second (smaller) group of players who were fascinated with the dungeons, enjoyed crawling around, discussed various approaches to understand the structure of the dungeons (they are structured indeed, by the way) and methods to explore them without getting lost or miss important spots (remember Ariadne in the Lair of the Minotaur?).
Today I feel the Daggerfall dungeons are "manageable". If you want to explore every single corner of the dungeon, you can do it, if you fall into the Void, you can jump out, and if you want to get to the quest object as quickly as possible, you can do this, too. There is also the Recall spell which creates an anchor point and later teleports you back to this point. It's not perfect, but if you want to focus on the plot, it's acceptable.
On the other hand, stat (you call it character) development without a certain degree of dungeon crawling is certainly not easy - unless you are happy with killing thousands of monsters infesting town buildings :-).

I myself admire the developers for what they have created, and I regret that they didn't develop the concept further (for understandable reasons, given the general reaction to these dungeons). The system has many flaws, but a lot of potential, too. The biggest issue in my mind is that dungeon elements repeat themselves inside one dungeon. When you see something familiar you never know whether it's a place you've seen before (in that dungeon) or not.
On the other hand: Why should your opponents make your life easy :-)?

I can understand that you feel like a rat in a maze - for you are :-). You have lots of opportunities there to prove that you are indeed the hero you want to be. That's role-playing! :-)

When it was released, I remember having a heck of time trying to figure out how to get out of dungeons. Then I found a teleport spell I think it was. I would cast the anchor at the beginning of the random dungeon, then when I was done, cast the teleport to go there. So I would suggest getting that spell as soon as possible.