Lockpicking has a -10 point skill penalty when trying to unlock your own cage.
Getting beaten up improves your defensive combat skills pretty rapidly.
Fighting stronger opponents will improve your combat skills significantly faster.  Fighting weaklings won't teach you much.
Some technology can only be obtained by finding the blueprints.  Some of these can be found in shops.
If your whole squad is taken down, any survivors will play dead until the enemy is out of range.  You can force them to get up anyway by giving them an order, which will also improve their Toughness stat.
Too many corpses left lying around will attract predators.
If you are in disguise, you are more likely to be recognised by someone else of that same faction.
Slave shackles can be removed by picking the lock, or finding a saw
Escaped slaves should avoid most other towns and factions until the heat dies down.
Getting defeated in battle isn't always the end.  There's a chance someone in your squad will recover in time to save the others.
You can set a character to BLOCK only, in this mode he won't attempt to make any attacks, but will gain +20 to his melee defence skill.  It's a good way to buy time when you are outmatched.
Pressing the MEDIC button will order the selected characters to automatically heal all of their squad. If you shift-click the button he will be assigned to a permanent medic role.
If a slaver strips all your gear he will probably put it all in storage somewhere. Maybe you can get it back.
If a slaver shaves your hair off you can get it restored by visiting a plastic surgeon.  These guys can usually be found hanging around in bars.
Turrets get range, accuracy and damage bonuses based on their height above the target.  Build them on top of hills and walls.
If a character has a bounty on his head you can turn him in at a police station for a reward.
A heavy inventory will slow you down, but is a good way to train your strength.
You can construct buildings via the Build button, which is in the upper right of the GUI. Your character will need building materials in his inventory to complete the construction.
You can purchase empty buildings in towns.  Click on the door of the building and a BUY button will appear in the bottom left of the screen if it is for sale.
Backpacks are a good way to carry more stuff, but the larger ones will hinder you in combat.
Stealing, picking locks, looting bodies in town, these are all crimes that will get a bounty put on your head if you are spotted. 
If your character has a bounty on his head then he should avoid going to towns with a police presence. It takes time for someone to recognise you though, so if you have to go in- avoid attention and get out fast.
The bigger your bounty, the more people are going to recognise you. Police and bounty hunters are the sharpest spotters, while civilians will only recognise the most infamous of criminals
If someone has a bounty on their head you can freely attack them without any trouble from the police
Your chance of successfully stealing from a shop container is based on your Thievery skill, but also the distance of the shopkeeper.  Your chances skyrocket if he's asleep.
Be careful about selling stolen or looted items. Shopkeepers won't care if you sell them loot from their enemies, but don't try to sell them back their own items.
If you loot a major faction then wear their uniform it can make a good disguise, but don't be surprised if one of them notices and gets mad.
Hold SHIFT when you right-click a move order while a character is in combat mode and he will maneuver carefully to that position while still fighting and protecting himself.
If you set up base too near to other outposts, cannibal villages or bandit camps, be prepared for the consequences.
Be wary of whose territory you are building in.
Mounted crossbow turrets don't need any power supply, this means they can be built anywhere out in the wilds.
It's a very bad idea for any non-humans to venture into Holy Nation territory.  Learn the ways of the world if you want to survive.
You need to eat to survive.  Your character simply needs food in his inventory in order to stay fed.  
Slaves are kept fed up to a bare minimum, enough to keep them working, but low enough to stop them escaping.
If you hold down SHIFT when clicking to give an order, the character will consider it a permanent job.
You can shift-click when looting an animal to set a permanent job. The character's job will be to gather skins and meat from the surrounding area.
If a character keeps food in his backpack then it will be automatically shared with the rest of the squad.