Although in the Last Outpost you will eventually be able to gain all levels in all classes, your main class is the easiest to gain levels in and the easiest to learn skills in. You will be able to train up your main class's skills to "good" as soon as you are of the proper level, while other classes are trainable only to "poor" until you are greater than the level. For casters, spells in your main class cost less mana to cast.
The statistic for a mage is Intelligence. The higher the intelligence, the easier it is to learn and cast spells, and some spells have a greater effect. Intelligence also gives you more mana.
Warriors need Strength. They specialize in hand to hand combat skills, and can rescue, charge, and otherwise manage the combat.
To be a Cleric is to practice Wisdom. Higher Wisdom helps cleric spells and allows the character to learn the full range of healing, buffing, and even damaging spells.
A thief's main statistic is Dexterity. A thief hides, evades, and stabs in the back. Thief skills tend to focus on movement, not being seen, and deception.