Start with Demon's Souls, u fukn casul, huehuehue. Man, has no one made a guide for this yet?

You know what, there are a lot of different ways to approach this game, and each offers a unique experience. If you want the typical Souls experience, go with light armor, no shield, a melee weapon, and rely on dodging attacks to survive. When you roll, you have brief period of invulnerability, the duration of which is determined by your agility stat, as explained here.

You can use pretty much any weapon you want to complete the game. Early on the most important aspect of dealing damage will be upgrading your weapon rather than increasing your strength or dexterity. You can do this by talking to a blacksmith, there are a few in the game.

Early on you'll want to increase your stats to at least 20 VGR and END. You'll need enough VIT to keep your equip burden below 70%, but if you're wearing light armor that shouldn't take much. You'll want the minimum STR and DEX to meet the requirements to wield your weapon of choice (if you two-hand a weapon you only need half the STR requirement). Get ADP up until you have at least 96 agility, and maybe more.

If you have 50% more STR and DEX required to wield two weapons in each hand, you can enter a powerstance with them, where you basically attack with both of them at the same time. Don't worry too much about ATT, INT, or FTH. Doing anything cool/useful with them requires pretty high stat investment.

Talk to every NPC you meet and exhaust their dialogue. This is very important. Also, explore, look around. Try weird stuff. If you get really stuck, look up a guide or ask a question here. Otherwise, play the game blind.