I have the same problem I had in Legend of Grimrock:
I don't know which weapon skills should I level? It is obvious that I can't level all of them and there is no clear explanation about them.
It seems so far that maces is a must since there are a lot of armored opponents and maces are the fastest armor-piercing wepons.
Axes are not worth it because they are slow and you still need to be in melee range.
Swords are fast, but using them means melee combat.
Polearms are quasi ranged so by using them you can avoid a lot of damage.
Bows need ammo and they are situational.
I don't have any experience with wands yet.
I think that maces and polearms are the most effective. Am I right?