Pressing the 'R' key doesn't seem to do anything; my character still waltzes about all leisurely-like. Am I missing something? I'm at a loss here.

It does, just be sure not to hold any other buttons when you're pressing it. It toggles between "walking" and "running" speed but there's no difference in animation. There's really no reason to use it unless you hit it by mistake as you're "running" by default.

Yup, pressing R key while holding left mouse button seems doesn't work. But I don't see any advantage by walking, I think my stamina still only replenish itself when standing still, and running doesn't use stamina at all. So I just run all the way. Maybe the developer miss it? (Though it will be nightmare if running also use stamina..)
Oh and maybe you want to add few points to Speed on the beginning. I was tortured by the speed of my character.

I put it on 10 at the character creation and didn't touch it since then. I find it the worst attribute...

Yup, can't agree more, comparing to other attributes it is the most useless one. But still, I couldn't stand my running speed. Now I have 30 points on it and I can almost keep up with my companions at last. Maybe stupid, but at least I'm happier :P

All right, thanks for the info. I guess I'm resorting to upping the Speed attribute as well!

I like the speed attribute.
As a priest, running "Benny Hill style" while spamming "Locust Swarms" does work pretty well. The Damage over time thing really is powerfull if you have the time to run away.
It's fun as nobody can keep up with you so practially safe from melee attacks as long as you keep your Mana and Stamina up.