(depending on what's available, I might take darkness or leadership instead of luck).
I always take money from chests.
In arenas, I only take defense, and in magic towers, only knowledge.
My record is level 35 without any towns in single-player.
I collect artifacts to increase the initiative of my troops and decrease the initiative of the enemy. I always try to collect a set of artifacts consisting of a hat, necklace, and cloak (+ to morale and luck, and which, when combined, allows the hero to move more often when morale triggers).