geertvdp: Thanks a lot for the explanation. I noticed that when I wanted to level my sorcerer for the first time, he only gains HP and no SP. Are SP raised in another way than training?
I thought they gained SP on leveling, but it's been a while since I played. Does anyone know for sure? My memory is that the SP gained per level is based on their Intelligence stat, so a higher intelligence means more SP per level. It is possible to get zero, unfortunately... some players will repeatedly load a savegame before training to be sure they get the maximum gain per level, but I did not find this to be necessary. I just went with whatever random result I got, and had no trouble finishing the game.
Also, to add to ZFR's answer, when your characters get multiple attacks, you will see new messages like "Knight attacks 2 times and hits 1 time for XX damage". This will happen from a single "attack" command in combat, so you have multiple chances to hit and damage enemies each time you attack. Knights, paladins and archers will get an additional attack every 7 levels, I believe (it's in the manual).
But I've also noticed that my characters would hit more often and do more damage as they gained levels, even if they hadn't earned any extra attacks yet. I'm not certain, but I think that a character's level factors into his or her effectiveness in combat.
And, as ZFR said, spellcasters get A LOT more powerful as they level, not only because many spells are boosted by higher levels but also because they get access to new and more powerful spells every two levels. Once you get the tier 3 or so spells your spellcasters will be the most useful characters in combat.