Beginning with 0.31.17 you must choose attributes in addition to skills. Which abilities are useful to combat, both melee and ranged?
According to the Adventure mode wiki page the following attributes and skills are important to combat:
Strength - Alters the damage done in melee, increases muscle mass (thicker muscle layer also resists damage more)
Agility - This attribute is directly related to a character's Speed and is also used in combat skills.
Toughness - Reduces physical damage. Also relates to defensive combat skills.
Endurance - Used in Wrestling.
Focus - Affects Archer.
Willpower - Affects Fighter and helps resist pain effects such as those caused by chipped bones.
Spatial Sense - Important. Affects combat skills.
Kinesthetic Sense - Important. Affects combat skill.
Weapons - Naturally all of the weapon skills (hammerer, marksdwarf, etc.)
Fighter/Archer - A general combat skill relating to melee or ranged combat
Shield User/Armour Wearer/Dodger - Defensive skills, used to block or avoid incoming attacks
Wrestler/Striker/Kicker/Biter - General unarmed combat. Wrestling is particularly interesting as it alows you to disarm, throw and choke opponents.
Thrower - Throwing objects such as axes, swords or rocks.
Misc. Object User - Fighting with improvised weapons (such as rocks or Fluffy Wombler corpses).
Ambusher/Observer - Allows you to sneak up to (or away from) enemies unnoticed and to spot sneaking enemies respectively.
You may also wish to consult the Adventure mode quick start guide for advice on a good all round set up.
I find Agility is very important, as it directly affects your speed, or rather, cuts down the delay between your actions (which is effectively your speed). If you start with max or nearly maxed agility, for instance, it becomes possible to outrun bogeymen (well, at least until they punch out your legs... :P )
As pointed out by the quick start guide, many attributes, such as musical sense, are useless so you should put them on very low settings.