What temple should I join?
1. I've never played a lot with the Temples, but they can offer different abilities. You might want to http://www.uesp.net/wiki/Daggerfall:Temples (Personally, I always joined a temple that would fit the character I play in terms of mentality and belief.)
Is armor drastically important to the point where I can't replace a few pieces for clothes, just for looks?
2. Clothing can be worn under armor. No worries here.
(It will look odd if you are a female wearing a noble's robe under your full plate mail though.
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I made my last character immune to magic, but some creatures still hurt him with magic attacks! Why?
3. Immune to Magic does not grant immunity against all magic schools. I think this immunity concerns only spells that drain your stats and other "non-harmful" spells like Silence.
How do I begin climbing? I press up repeatedly against a wall, ones I know I can climb, but it doesn't always work...
4. To climb, face the wall and walk straight on it. You need to be as straight as possible and your character will automatically start climbing. For a tip, look at the pixels on the wall. They must be aligned as straight as possible. Beware though, a low climbing skill can make your character fall.
Does armor effect spellcasting?
5. Armor does affect spellcasting as far as I know.
Can you make your own potions?
6. You need the services of the Mages' Guild or some Temples to brew potions. The service is only accessible to members of a certain rank though.
Can you make your own spells?
7. Same thing as Alchemy.
Can you poison your weapons?
8. No it is not possible.
Where do I get lots of arrows? I can never seem to find any in shops or loot.
9. I always found out that arrows tend to spawn more often when I'm wearing a bow in my hands. Maybe it's just me, but I tend to find more arrows in loot or in weapon smiths..
How diverse is enchanting?
10. The enchanting service allows you to do anything you want. You can make really anything.. provided you have the money. It's really expensive! You can even make enchantments that not even Jagar Tharn could cast.