Walkthrough

This is a start, so people who are smarter and better at the game (and wiki-editing) than I am can fill it out with more stuff.

Getting Started

So you're fresh out of Character Creation and have been dumped in the Frost Hound with the minor task of saving the world. Here are a few tips to help get you on your way.

Equipment: Shops in Hawkethorne are available right away, for you to upgrade your starting equipment and dump any excess TFs you pick up in the wild. The game is set up so generic equipment from the starting shops can cover you for the rest of the game, so you don't need to worry about upgrading your battleaxe every time you reach a new settlement. That being said, the unique equipment you find in the world will usually be a little bit better and more interesting.
Sleep: The game encourages a healthy sleep cycle. Timed boons from Garth as well as sleeping bonuses once you hit level 3 incentivise you to keep coming back to the Frost Hound to get your eight hours.
Storage: You have some storage at the tavern, but keep an eye out for opportunities to increase that. Also, you probably won't have room to keep all the Unique loot you pick up, so consider prioritising.
Order of Travel: The order in which you visit the areas doesn't really matter, though difficulty from easiest to hardest goes something like Old Forest - Harvest Valley (North) - Foothills - Harvest Valley (South) - Frostwood - Glacial Rift. But nothing's stopping you from hitting the Foothills first, aside from the threat of repeatedly losing to harpies and orcs.
Read: We on the Wiki, Forums, and Discord are happy to answer your questions. However, most questions are also answered in the text if you'd like to save yourself some time.

Builds and Optimisation

Because this game isn't about smut, it's about metagaming the strongest build possible. Or at least getting an edge on the battle that's giving you trouble.

Stat Allocation: Generally speaking, you want to pick three main stats and stick with those. Your class will give you recommendations, for example a Thief will need Strength/Agility/Cunning while a Charmer will need Presence/Cunning/Agility. Once you've figured the basics out you can mix and match, see what happens when you give your Warrior some Willpower.
Boons: Garth sells stat boons for a small amount of electrum. You can use that to boost a fourth stat of yours for 24 hours, just make sure you keep coming back to the bar.
Trainers: Trainers are available on-hand to teach you abilities from different classes. Garth (Warrior/Thief), Ivris (Black Mage), River (Charmer), Brother Sanders (White Mage), and Leorah (assorted ranged abilities) will be able to happy to instruct you for a modest fee.
Examples: This is the part where everyone puts their 'this is how I 1-shot rift enemy' builds.

Hawkethorne

The small village from which your great heroism (or villainy) will be launched. While you will later pick up allies, resources, fortification, it all starts here.

Potential Companions: Cait is available from the start in the Frost Hound. Atugia is up at the castle with The Baroness, but she will come to town to pay you a visit before too long.
The Frost Hound: Garth is at the bar to dispense early game quests and stat boosts, your companions will be available here when they aren't travelling with you, and a motley assortment of mostly sexable guests will be staying as well.
The Nursery: Out back, Gwyn has set up the Hawkethorne Nursery to take care of your children while you're on your adventures. It's not much to look at now, but if you want the simple pleasure of buying your children musical equipment she is accepting donations.
Shops: Ogrish sells arms and armor, Leorah sells light armor and hunting equipment, Ivris sells magic equipment, and Nelia sells enticing clothes to tease enemies with. The stylists Aurelia and Claire can make some cosmetic changes for you as well when you have some electrum to burn.
Other Places of Interest: The Gym isn't available yet but Garth may have an update on that before too long, Brother Sanders offers blessings, training, and occasional quest input, the Tutorial temple is still there and receives some quest focus, The Baroness resides beyond it, and as you go out into the world you will find more NPCs to line the streets.

Old Forest

The recommended starting area. With the recent goings on the forest has become a lot less friendly and a lot more filled with people who want to 'victory sex' you. (Level 1)

Potential Companions: Brint, Azyrran
Mobs: Effigies, Hornets, Wyld Elf Band, Wolves, Ninian, Eryka, Forest Kitsune
Encounters: Sugo, Witch Set, Viviane, Dryads, Ruined Shrine
Quests and Events: Convocation of Mirrors, Dog Days, In Her Footsteps, Land of Milky Honey

Wayfort/south Frostwood

Maybe don't travel into the Frostwood proper just yet, you might not be ready for that action. But there are some friendly NPCs to meet before you go running into danger. Including the nice lady who will give you Fast Travel.

Potential Companions: Etheryn
Encounters: Lady Evergreen
Quests and Events: Cat Call, Inheritor of the Idols, In Her Footsteps

Harvest Valley - north

Yeah, the farming valley is pretty screwed as well. Cultists are running amok and may have something to do with the fact that everything here wants to 'victory sex' you as well. (Level 1)

Potential Companions: Quintillus
Mobs: Centaur Pack, Crazy Horse, Marefolk Shaman, Cultists, Lupine Scouts, Sariel (Level 4, north and south)
Encounters: Clementine, Pupperidge Farm, Zo (Level 3)
Quests and Events: Cat Call, Farmhand's Freeholds, Getting Into The Closet, Harbouring a Fugitive (north and south)

Harvest Valley - south

A bit of a step up from the northern region, here you can get to the heart of the conflict between the marefolk and centaurs and maybe change things for the better. Also, there's a set of armor that might be the right size for one of your companions, but save first just in case. (Level 3)

Potential Companions: Brienne (see Mad Cow)
Mobs: Gnoll Raiders, Centaur Packs (higher level), Crazy Horses (higher level), Hashat, Lusina, Maria, Slime Siblings
Encounters: Marefolk Village
Quests and Events - Harboring a Fugitive, Mad Cow

Foothills

Bandits and harpies and orcs, oh my! (Level 2)

Potential Companions: Arona, Berwyn
Mobs: Harpy Thieves, Marked Merk Mercenaries, Lieutenant Jen, Wyvern Girl, Manticore Girl, Arona, Vaush, Grettel, Berwyn, Byvernia
Encounters: Minotaur Gate Guard, Statues
Quests and Events: Right of Conquest, The Mistress, Missing Meows, Shades of the Past, Ugly Duckling

Frostwood

You're following the yellow brick road to the Winter City, but there are a few roadblocks on the way as well as some powerful potential allies - or foes. (Level 4)

Potential Companions: Kiyoko
Mobs: Frostwood Kitsune, Imps, Drider Queen, Meira, Kurako
Encounters: Sleepy Snake, Vari, Hatsumom, Temple of Terrestrial Fire, Gytha
Quests: Den of Foxes, The Wyld Hunt

Winter City

There's not much to do here accept face your destiny and infiltrate the dungeon at the end of Act One. (Level 5)

Quests and Events: In Her Footsteps

The Rift

Something's amiss in the Rift. You'll meet interesting people (who hate you), travel inhospitable wastes (pursued by people who hate you), and try to resolve a conflict that's been brewing for centuries (which will be difficult because everyone hates you). Luckily there's an old 'friend' of Hawkethorne to help you out. (Level 5)

Mobs: Demonic Cultists, Avanai Rider, Wraith Chimera, Jotuns, Selkies, Siorcanna
Encounters: Imora, Gweyr, The Ice Tower
Quests: Winter Wolf