Eternal Darkness allows you to play with 3 characters connected to the game at once. When creating your character you might choose to create 1 or 2 more to follow and it would be a good idea since many areas are designed with this small group in mind and even areas that require larger groups would really only need 2 or 3 people playing their crew. Some people use Channeller as their first class since they can blow up most mobs in all the mortal areas and it will give you a huge amount of other useful spells that you can still use when you remort into a warrior or thief class. Some people create 3 Channellers for a very quick run through the first mortal levels and the spells to carry into the dragon levels. Others like the playstyle of the tank, healer, and dps trio and jump to that right in the beginning, which also works well and if you run into a much stronger mob during your xp'ing, chances are you can stand against it.
Whatever character(s) you've made, your first stop is the newbie area just below the central square. Your hp/mana/move gains are based largely on your stats at this point and the newbie area has many pieces of armor with stat boosts on it. You'll need your choice of weapon, the newbie belt, backpack, robe, orb, bow, quiver, and boots. The next area is Lemmingville which is a short ways north of the central square on a small path and the lemming children are your targets until you gather up 4 trinkets for each char. You wear them on your anklets and wrists, (You may actually have to type wear trinket wrist) and in total they add 4 con, very nice. Try to kill the Pastor a few times for some priest collars as well. With all of these items you'll be gaining some decent hp/mana.
Elemental Canyon and the Witch's Circle have some very nice xp and equipment for the lvl 25 range. The Witch's circle has an excellent item, Ormana's Ward of Fortification, if you are a warrior or thief that can't cast fortify you'll want to try and get your hands on this since it puts fortify on you which stops a small amount of damage.