I'll repeat the advice I gave in another thread. Note: it is a bit slantes towards a completiinist mind set.
Love this game. Spent hundreds of hours on it.
Some pointers:
Some skills level up as you use them. You should try to learn these skills as quickly as possible and start levelling them up as early as possible. Most important are weapon skills and the augment element skills. Weapon skills level up every time the character use a weapon of that class in battle. Element skills level up every time the character uses that element in battle (either magic or elemental weapons). So make sure that your characters start specializing in different weapon classes and elements as early as possible. Limit each meelee character to one weapon class, and each mage to one element. Also, I'd recommend choosing different weapon classes for different characters. Try and keep all the weapon classes covered. You may get rare weapon drops for a lot of different classes, but if every character is trained on two-hand swords, the rare drops for all those other weapon classes will be wasted. If you get a high-level rare elemental weapon, it might be worth it to train the character you choose to use that weapon in the corresponding augment element skill. Aside from weapon skills and element skills, skills that improve results (damage, healing amount through spells, success rates of spells) against different classes of units level up this way as well. The one that works against humans (anatomy) is very useful and worth training on most/all of your characters as early as possible. The ones against beasts and dragons may be useful to train on your dragoon.
Canopus starts out using one-handed swords and one-handed bows. Unfortunately, his class can't use two-handed bows, so you risk making him useless in the endgame as there are very few high-level one-handed bows. I suggest making him use crossbows as early as possible so he can level up the crossbow skill from the start. He can use all crossbows in the game.
Also, try to learn stat-increasing skills that fits with a character's class. That is, get strengthen and fortify (and possibly others that you want) for physical damage units and spellcraft plus suitable defensive skills for magic users. Truestrike and trueflight are really useful early on, but become less necessary as you start to level up weapon skills.
Unique characters have better stats than generic characters.
You may get extra dialogue by bringing specific unique characters to specific battle. A guide covering most, but not all, of these events can be found
here. The guide also shows how to recruit all unique characters. In classic Matsuno style, a lot of them are missable and quite easy to miss without help.
Almost all (human) character classes are represented by unique characters, but a few are not. The ones that are not include warrior, rogue, ninja and lich (although you would likely need a guide for the last one). So if you want to use all classes, but still only use unique characters, you should change some unique characters into these classes. You can recruit 4 unique characters in the valkyrie class, two in the white knight class and two in the beastmaster class so these characters may be the first choice to switch to one of the classes I listed above.
If you want to recruit a certain shop keeper who appears in Act 4, you need to buy 5 elemental orbs of each element from her shop. Problem is, the only way to get her to sell these orbs is to auction off dragons. For every dragon you auction off, she will sell 2 orbs of its element. So to be able to buy 5, you need to recruit and auction off 3 dragons of each element, including hydras, which counts as a class of dragon for this quest. This is not as bad as it sounds. If you recruit and auction off every dragon you encounter through the main game, you should have gotten almost every one you need. For this reason, it may be a good idea to keep a beastmaster or someone who has learned the "tame" skill from the beastmaster class around in your party until you have recruited all the dragons you need. If you want this character to give you a unique class as well you must perform another, much more tedious, task as well. I'm not going to describe this here, but note that if you recruit her without doing this task, you will miss the chance of getting this unique class.
The in-battle chariot system can be cheesed to get desired outcomes. Most of the time I wouldn't use it, but for certain tedious tasks (recruiting enemy units or getting a desired drop) it is very useful. Basically, if you repeat the exact same action, you will always get the same outcome. But if you change something slightly (go from another direction, change what action the previous character performed and so on) they re-roll the dice so you can try different things until you get the desired outcome.
Maybe the game explained this, but it's (much) easier to recruit an enemy unit if they are very low on HP.
Regarding unique weapons: Especially in side-quest dungeons, some enemies may drop unique weapons. They may not always spawn in the battles. Completionists would use a guide to see which unique weapons can be gotten from each fight and restart the fight until they spawn all the enemies that drop unique weapons, but I recommend against this as it would likely make you hate the game. What you can do, however, is to look out for if any enemy has a much higher level than everyone else. If so, they will most likely be able to drop special equipment when they fall. Unfortunately, the drop rate may be ridiculously low, so use the chariot trick described above to improve your odds.
When you receive a new class, they will start at level one. While some would suggest power-levelling these classes, I would instead suggest just taking them into story battles to receive experience organically. They will get an experience boost compared to higher-level classes. Keep them in the back because they will be pretty useless for quite a long time. Furthermore, enemy AI is programmed to do maximum amount of damage so they will try to go for these units first. Handicapping yourself like this adds some much-needed extra challenge to the game (I feel it's a bit on the easy side otherwise).
In some battles there will be guest characters. If you keep them alive you may be able to recruit them later on, but if they die they stay dead forever. However, keeping them alive may sometimes be difficult as they usually start quite close to the enimes and furthermore have rather suicidal AI. Two tricks that may help you out is to have one or two characters equipped with the item lobber to toss healing items their way, or to use the consumable that makes the weather worse as accuracy of attacks will go down in bad weather, giving you more time to get to the guest character. A slightly more cheesy approach is to use a decoy character without armor to draw some enemy attention away from the guest character. Canopus, with his high mobility, may prove useful for this.
I may have forgotten some things.
One thing I missed. For Denam you can unlock a special class that can use ninja's dual-wield. Therefore, consider training him in daggers, one-handed swords or one-handed katanas so he can use this skill to its fullest if you get this special class. Likewise, Azelstan's unique buccaneer class can use dual wield learned from being a ninja as well. This class can use daggers and one-handed swords, so I would consider training him for these weapons. I think when you get him, he may already have gained some ranks in onehanded swords, so that may be your best bet. Also, he will have some ranks in fusils when you get him, but that is a dead end, because the buccaneer can only use one-handed fusils, and in the end-game all good fusils require two hands. Finally there is one special character you can recruit who I won't spoil. But this character comes with a special class that can use the dual-wield skill as well. The class can't learn the skill, only use it, which is a bit of a pain in the ass, because getting the class mark you need to switch back to this class after making them a ninja is a bit tricky (you would probably need to look at a guide). Anyway, I would recommend training this character in using one-handed swords to take advantage of the dual-wield skill, even though the character is trained in whips when you get them. Oh, right, I forgot about the ranger class. This class can dual-wield as well, with daggers and one-handed swords.
Oh and another point. The lawful route is the best route. Most interesting story, most interesting characters and it gives you the most useful unique characters. Only, keep in mind, if you have to make a big decision at some point, that lawful doesn't necessarily mean good.
Second edit: Don't underestimate status effect spells. They can be very useful if you are overwhelmed by enemies.