There are four main areas in which you can focus your skills. In essence, it comes down to your personal chosen attack style. If you always use ranged weapons (bows, crossbows) to attack your foes, you will naturally build up the ranged weapon skills. If you always choose hand weapons, you build up that skill. If you just randomly switch between the four styles of combat, you'll not get really good in any one of them. I really advise choosing one and focussing on it. At most, choose two that you like to alternate between. More than that will mean you don't really get good at any of them.

There are items you'll find that can only be used by a person with X skill in a certain style. There are also special doors you'll find in the game that can only be passed by a character with X skill in a given style.

Note that some conversations you have with characters makes it seem like you have to "choose" one in the game. You don't. They just mean that you, as a player, need to focus your attention on a style of attack.

Hand Held Weapons
This group includes swords, maces, axes, etc. Anything you hold in your hand and bash your enemy with. You build up to cool skills like double handed wielding and super-fast strikes, as you gain in skill here.

Ranged Weapons
Here you have your bows and arrows, your crossbows and bolts. Legolas would do very well in ranged weapon skill ranking.

Combat Magic
This is the sort of stuff that Gandalf uses. Fiery lightning bolts, blasts of cold ice shards. It's magic used to blast away your enemies.

Nature Magic
Enjoyed by the dryads, nature magic is more about the rhythms of life. Even if you personally don't want to follow this route, you should always have a nature magic person in your party to take care of the characters.

Dungeon Siege 2 Walkthrough