As with any RPG, this game has stats. There are a total of 9:
STR (Strength) determines how much damage you do in combat. Some classes do more damage than others, but having a high STR value never hurt anyone.
DEX (Dexterity) determines how much damage some classes do in combat. Classes like Archer and Rogue focus on DEX-based attacks instead of STR-based ones. This stat will be more useful to those classes than STR.
AGI (Agility) determines primarily how fast you go in combat. It is also a defensive stat that can cause attacks to miss more often.
INT (Intelligence) is used by magical classes to determine how much MP they get, and also how much damage their spells do.
CON (Constitution) is used by all classes. Primarily, it influences how much HP you get, but it can be used for some attacks or defensive rolls as well.
LUK (Luck) is used by all classes. It affects how good/bad some events are for you in game, as well as influencing some class abilities.
HP (Hit Points) are used by all classes. They determine how much health you have before you die in combat. Some equipment can directly influence your HP.
XP (eXperience Points) are used by all classes. Increasing this stat increases how much XP you get each time you gain XP. For example, if you have an XP stat set to 5, and you gain 1 XP from an event, you will gain a total of 6 XP.
You also gain 1 XP every tick (every 5 seconds), which means increasing your XP stat will increase how much XP you gain per tick.
GOLD (Gold) is used by all classes. Increasing this stat increases how much gold you get each time you gain gold. It works similar to XP.
Gold allows you to buy enchants and items from wandering merchants, as well as gamble.
You also gain 1 GOLD every tick, so increasing this is a good idea.