Wizard
My advice is similar to what others have posted, but I do ideas that vary from the typical wizard.
What can be said of the wizard is true for all other classes, but I have found it vital for my wizard:
Work on the areas where you are vulnerable, because survival is your primary concern
1. AC - As a first level wizard, you might be fighting enemies that have an average attack bonus of +1 to +3. All it takes is one swing from a battleaxe to end your career. However, if you start off with a 14 dex, mage armor and shield, you can boast an AC of 23. That's going to be higher than most of the tanks in your group, and it will require that the majority of foes you fight will have to roll a natural 20 to hit you. This will allow you to survive long enough to cast those offensive spells or use your crossbow to inflict damage.
2. Saving throws - While you might be able to sport a good AC, AC does not provide protection against most spells. If you start as a human, you will get a free feat at level one. I used my two feats at level one (besides scribe scroll which you get for free) to take greater fortitude and lightning reflexes. I know many people would disagree with a wizard taking these two feats, but those to saves are your worst, and a +2 bonus to each is very nice. It will be especially nice for you at later levels. I can''t tell you the number of times my wizard survives simply because of those two feats. Besides, you'll get a new feat at level 3 and another metamagic or item creation feat at level five, so you can take spell focus and something else at those levels. Remember, the levels come pretty quickly when you are just starting out, so you'll get those feats in no time. Remember too that as you gain levels, you can add to your saves by purchasing a cloak of spell resistance, and you can use your second level buffs to increase your will, dex and con scores, which will also add to your saving throws. My wizard is currently level 13. I have a Cloak of Protection +5, which I saved the money to buy. All three of my saving throws are at 13, and when I cast cat's grace, endurance and owl's wisdom on myself, I can boost my saves to 14 or 15.
3. Spell resistance: You're not going to find anything that you can afford at low levels that will give you spell resistance. This is something to ponder for your wizard in later levels, as it will be the only area of vulnerability you will still have to address.
4. Movement. The addage "run away to fight another day" is a reality in D&D. Until you get teleportation spells, you will need to be able to get away if the situation becomes hopeless. One of the best investments I ever made was boots of striding and springing. I know many people prefer boots of haste, but given the fact that boots of haste only last ten rounds, the boots of striding and springing allow for more movement overall. It's funny, because my rogue was the first person in the party to buy the boots, and once everyone saw that my rogue could rush in from long distances in order to attack, everyone else in the group eventually got a pair of the boots.
Another consideration is specialization. I myself declined to specialize. I know that's taboo for many here, but I have found that having access to the whole gambit of spells is preferable to gaining an extra spell slot and a +2 DC to spells of a given school but losing an entire school of spells. The reason is simple: It's fine to think about how much extra damage you might do by specializing in evocation spells, but the minute your group has to mix it up with a rogues' guild, your going to find that those evocation spells are almost worthless. In essence, it's normally the "situation" that becomes your strongest enemy, and most of the times, your group has no control of the situation. Your party is usually in the position of "aggressor" and you therefore normally end up dealing with others on their terms, not yours. Therefore, having a wider variety of spells gives you more opportunity to alter the situation to an environment that is more conducive to your survival. Some may argue that having 9 more available spell slots at level 20 is better, but by the time you get to level 20, you'll be fighting against foes with a wider variety of strengths and weaknesses. All it takes is that one encounter where you can't cast a spell that could save the day, and your whole party ends up dead.
Some may argue that this type of thing does not happen a lot, but after 13 levels as a wizard, I know for a fact that it does. At lower levels, I was fighting just to survive. Now that I have a few more hitpoints and some extra power, my wizard has been kicking some tail and saving the party. In one of our last adventures, I killed three of four beholders with the flesh to stone spell. I was able to kill a purple worm that had already swallowed our fighter by using a phantasmal killer. I killed a group of salamanders with a cone of cold (spell focus evocation) and a cryohydra with a fireball. In these cases, I needed spells that were capable of killing the enemy in one round, but I had to choose from a number of different schools. (I've had to use a number of other different spells from different schools as well) If I had been a specialist, some of these spells would not have been available to me, and we would have experienced a lot more difficulty and death in our group.
Sorry, I know this was long, but I hope it is useful