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For starters all of what i say I can personally attest to, I don't report that which 'other people have been saying apparently'.
Now to business:

The game favours heavily attacking more than one creature at a time.
-------Due to the amount of creatures you have to wade through, the ease of leveling if you can somehow manage to get past the boss locked areas to access far higher minion level areas, & essentially that it creates a native form multiplyer to DPS (don't believe me? i had a soldier focusing on pure Phys DPS with 2handed ranged doing 1000dps; even before
i got to the same level with one focusing primarily on blade arc i not only had 1000dps due to hand to hand being stronger, but was hitting everyone concievably around my character so multiplay that by 10->12=10,000+dps)

You should be close combat weapon user and not a ranged user.
------Kiting is a pain in the arse and the view range + weapon range + Speed of ALL MONSTERS by crates design choice just make it simply the worst choice for a character.
-----Why be ranged when 70% of the time mobs are going to swamp or corner you, the move to cursor is instead going to make you go stationary to fire and 100% of the time your still going to be getting shot with the only real armour (you know that actually absorbs all the damage) you may have are infrequently popping up energy shields from skills & devotions.

+%Damage to all is telling you get as many damage types as possible; and the 90 odd resistance types you'll never be able to protect yourself against are just slapping you every time you look away.
-----There is more and far easier ways to increase %damage all than any specific damage type (go ahead look at increasing +%aether damage; not going to happen and at least not significantly) this means to make the most out of it you need to try to get ALL damage types because it will apply to each and every one of them. If you only do two types of damage then +%damage to all works out the same as doing 1 damage type with a specific %damage to type.
-----The other reason you want all damage +%all is that you yourself are constantly getting raped by the fact you choose to build a character instead of clogging up your gear slots with elemental resist in one, poison resist in anouther, aether resist in anouther, etc etc. Really do i need to spell it out for you, what is good for the goose is good for the gander and if you only have 1 damage type a basically immune hero will make you cry, but i seriously doubt there are heroes that are immune to ALL damage types. Note you may lose out a little generally speaking as now more immunities apply to you, but when you can guarantee they at least actually take damage then bosses are a matter of base DPS.

Aether Ray sucks, but you are utterly stupid if you go turning it into a chaos ray.
-----100% conversion means set bonuses, item bonuses, devotions etc. will not add to your damage if they are aether focused; the way %damage works is that in skill tree percents are calculated first and everything else after conversion.

Shops suck don't bother with them
-----they only seem to sell things you either can't use due to level or can't buy because they are merely an acceptable exchange for the gear you have. If you must use them use a higher level characters shared stash (and throw away money) to base equip yourself.
----It is not hard to equip yourself with all blues this is because you can get to level 15 without even spending a skill point or really caring about anything but potion'ing up.
----Lastly shops never get better, while farming only gets easier.

Pets may be the bomb, but unfortunately the game insists your the tank
----If you don't understand it means that mobs will agro you at the drop of a hat and seemingly at times for NO reason
----While early game pets rape minions and can simply be recast against heroes, you never get enough for a true magino line (see french world war II and i've probably mispelt it).

The game clearly hates the idea of pets
---Most will last under 20seconds thus making them an equivalent of an automatically guided magic missile and NOTHING MORE. NEVER think of these as pets but as anouther spell that you cast for the purpose of DPS

RNG hates you
-----It doesn't know what you want, but it would help if the items it generated didn't have split personalities like +9-12 cold damge and then providing +%fire damage like if it a) will effect itself, or b) you will EVER use the two together.
-----items have levels they don't discuss with you before hand and it's intrinsically linked with the sort of stats that can be provided. The only random part of it is what random piece you get FROM the junkpile.
-----Drops 50% of the time isn't even 1 times out of three, it's the old saying about statistics if there's even the slightest chance to fail it COULD fail every single time.

Base attributes are worthless
----You never get enough to make an appreciable difference to your character you are stuck with your CLASS determining the attributes that determine your character.
-----You might save them just in case you need to make a requirement for a specific piece of gear, but you'll always hold back in case you need them for some even better piece of gear... Just spend the damn points boosting your DPS already.
-----Items that add an amount of needed attribute and a %to needed attribute are far easier to manage.

The game doesn't want you bee lining or making sense of it
-----Levels are designed usually that there is no linear path, but what can be almost guaranteed is that you want to head left the first 3rd and then hang onto the right side of the map at the second third and look for a way to go back towards the direction you entered. Most of the time if it's not obviously a very convoluted maze you just want to head either left or right about 2/3rds the way into the map. (or you could just become familiar with the static layouts of most areas)
----You know all that +%damage i just told you to stack, now look at how much dps you get from adding a damage type verse increasing an attribute. Turns out once you have some damage for all types that attribute bonus works as a +damage all bonus >:) ; meanwhile those who try adding straight damage from items are going to be like 'why has my DPS just dropped ?!?'.

Anyways that's enough tips for now. I might get round to adding some later.
Oh and as for resistances they only matter heavily with the bosses; and the bosses are set so just respec a little and change gear if you can't just pound their face in with a brick the first time.