Your hero can choose many different skills. Most of them are useful (and some of them are VERY useful), however, there are some downright pathetic ones.
Here's a short review about them:
1. Leadership - one of the most important skills. It gives your hero an additional space in his/her party. Factions, who have strong units with 2 space requirements (Legion Gargoyles or the Giants of the Mountain Clans) benefit from this skill even more.
2. Pathfinding / Advanced pathfinding - gives your leader more movement points. With the travel items your hero can cover great distances, especially with the travel spells. Very important for “earth-bound” heroes, somewhat less for flying ones.
3. Use Staffs and Scrolls - self evident, your leader can use the mentioned items. Though the staffs and scrolls are among the best items around the map, a basic, Level 1 mage hero for 500 gold can utilize them. If you don't mind to transport them back to your homeland, don't take this one. Mage heroes don't have to face that dilemma, of course.
4. Artefact Lore - extremely useful stuff. You can find VERY strong artefacts around the campaigns, that can make or break your missions.
5. Banner Bearer - banners offer party-wide bonus, so their usefulness is without doubt. They can increase your accuracy, initiative, armour or damage. For an all-rounder choice, head for the protection banners (Banner of Fortitude offers a whopping 20% protection).
6. Travel Lore - Allows you to utilize magic boots. Very useful. Travel items are among the best items in the game. With their help, your movement point can be increased by 40-60%. With the help of travel spells (Haste, Chant of Hasting, seafaring, etc.) you can cover almost the entire map within one day.
7. Arcane power - you can use magical talismans. Not recommended. Though talismans are better than orbs, usually your leader should be using his/her attack instead of relying on talismans.
8. Arcane Lore - you can use orbs with your leader. Not recommended. Up from Level 6 your leader should definitely be stronger, than even the strongest orb. They are highly situational against weapon immune enemies too. Usually, you better use spells to soften up those targets. Summoning is also a one-trick pony, as the creatures will perish with the end of battle.
9. Incorruptible - your hero will be unaffected by thieves. Don't bother against AI players. Thieves are pretty much useless in the hands of the computer. The Clans have a spell with the same effect.
10. Might - plus 25% damage to your leader. More hitting power is always useful, especially for mage heroes. If you have other means to pump up your damage (potion, spells), it is not THAT important, but still nice.
11. Natural Armour - plus 20 armour for your leader. It is imperative to keep your leader alive, and anything that helps, worth its weight in gold. With an Iron Skin potion and the above mentioned Fortitude banner your hero will be on armour 50. With a good defensive artefact you can even send your mage hero into the frontline to tank wounds. Watch out for armour-eating spells though (Rust, Tormentio).
12. Weapon Master - the entire party gets +25% experience. Very good one for later game (above Level 10, or so). Though you can substitute this one with the Tome of War, getting this skill by default will get you rid of the need for arcane knowledge, and free up one slot in your stash, when you have to carry heroes from one campaign to the other.
13. Accuracy - 20% additional chance to hit for your leader. Quite forgettable. You'll get +1% by levelling up anyway, plus you may find potion of fortune, which will also gives you +10%.
14. Forestwalk - no movement penalty while venturing in forest. Forget this one. The legion has flying heroes, the Clans have forestwalk spell, and heroes in general usually can mitigate the effects of forests with spells, staffs, travel items and pathfinding skills. Would've been much better if it gave seafaring too.
15. Keen-sight - your hero will see further in Fog of War. Another useless ability. You'll likely to investigate the blank areas anyway, and it won't help you to spot event-trigger points earlier. If something gone wrong, there is still the autosave option to reload.
16. Toughness - your hero gets +20% HP. Pretty nice one. To get the most out of it, combine it with defensive ability, plus a Highfather’s Potion.
17. First strike - your leader gets +50% initiative. This can counter the initiative-reducing spells, so usually I recommend to take this one as soon as you can.
18. Natural Healing - your leader heals him/herself 15% each day. Its usefulness depends on the faction you chose. For the Empire it is quite useless with the abundance of healing spells. The Clans also have a cheap, healing magic, which is better for heroes under 200 HP. Warrior Lord players also get the 15% benefit by default. Otherwise, you can spare a few gold with it.
19-22. Wards - Earth / Air / Fire / Water wards gives your leader immunity for the first attack of the respective source. Water is common for Clanner Ice Giants, Blue Dragons and Mermaids. Air is usually found at the Empire and Elven spellcasters, clanner Storm Giants and White Dragons. Earth is typical for the Mountain Clans' spellcasters and low-level giants, Medusas, and most important, the Incubi of the Legion. Apart of the Empire, Fire can be found in every nations' arsenal (especially at the Legion),but you can also expect fire breath from green and red dragons. The Empire has very good ward spells, otherwise, think about getting at least Fire ward on higher levels.
23. Arcane knowledge - you can equip your leader with magic tome. I never choose that one. The only tome which worth the hassle would be the tome of war, but carrying it will rob a space in your stash between the missions.