You spend your souls to level up; depending on build and stuff, vitality and endurance are probably the most important stats. DO NOT put any into luck. It's a waste of points and souls. The _most_ useful spell in this game is Soul Arrow (you need a catalyst and 10 Intelligence and 10 Magic for it though). It will help a lot.
It's tough to actually get going though. When I started I had tons of problems... after 1-1 and 2-1 I tried experimenting around and didn't really get far in other worlds until I actually started to level up a little more.
Here are some tips:
For 2-2, make sure you have a weapon that does magic damage, several enemies there are nearly indestructible without magic damage. It will help a lot. The 2-2 boss is tough though so bring lots of grass.
The two best shields in the game are Purple Flame Shield (90% flame resist) and Dark Silver Shield (100% magic resist/70% flame resist). Purple Flame Shield is obtainable in 1-1 by the dragon's nest. You can try and run up to the first dragon and get it. Alternatively, go to 1-2 and bring about 150-200 arrows and kill the red dragon, and then go back to 1-1 and pick it up. Since the Christmas Event is on right now, with PWWT, the dragons will also be absent. Dark Silver Shield is from the 5-3 boss' bodyguard.
Do NOT use the 2-2 boss' Demon Soul. Instead bring it to the blacksmith (he is below the elevator right at the start when you go up the stairs) in 2-1... keep talking to him until he mentions to the Red Hot Demon Soul. Then you can give it to him. Once you do, he will upgrade your weapons, much more so than what the blacksmith in the Nexus is able to. For that matter, you should NOT use ANY of the Demon's Souls. They are used to upgrade weapons and purchase miracles and magic. Unless you're on a second or third playthrough and are certain that Demon Soul has no further use, consuming it will typically mean you just lost the chance to obtain an item/spell/miracle.
To farm for souls for either buying items/upgrades or for leveling -- early one, zone into the 1-2 archstone, turn around and kill the two elite knights and archers for a good amount of souls. Otherwise, zone into the 4-2 archstone and run down and kill the reaper for a good amount of souls as well.
The two most useful rings in this game are the Cling Ring and Thief's Ring... both are found in 1-1. Cling Ring gives you an additional 20% HP while in soul form, and Thief's Ring allows you to get closer to enemies before they notice you... a must have in most cases. Since you spend most of the game in Soul Form (at least at the start... thinking about it I probably spent most of the last half of the game in Life Form), Cling Ring is usually a must have. If you want the game to be easier, you could always consume a Stone of Ephemeral Eyes to come back to life, but if you die, it will affect World Tendency, and you can be invaded while alive.
For me, I found 1-3, 2-2, 3-1, 4-2 to be very, very tough to get to the bosses there. Easy bosses to kill - 2-3, 3-1, 3-3 (depends), 4-1, 5-1, 5-2, 5-3.
Rescue NPCs.
-Ostrava in 1-1, 1-2, and 1-3 can be rescued. Doing so will net you rewards in 1-4. If you kill him early though you can get a key from him to unlock the Mausoleum in 1-1 and get a very powerful sword, and very powerful armor if you kill King Doran.
-Biorr in 1-3. He will help you in 1-3 boss and 1-4 Dragon.
-Yuria the Witch in 1-3. She will teach you magic in the Nexus after rescuing her.
-Saint Urbain in 4-2. He will teach you miracles in the Nexus after rescuing him.
-Sage Freke in 3-1... I forget his name. He too will teach you magic in the Nexus after rescuing him. He teaches different magic than Yuria.
-Patches in 2-2 and 4-2. He will trick you into traps, but if you activate both and survive, he will appear in the Nexus and become a vendor there.
---SPOILERS---
-Yurt in 3-2. Rescue him, then kill him when you return to the Nexus. If you do not kill him he will start killing named NPCs in the Nexus. Alternatively, do not rescue him. It is your choice.