When you start off, you'll be in the good old tram stop. Probably the place I know better than anywhere else in the game, since the voice that greets you crashed my first copy of the game. Head to the grav shaft, and if you want to activate an Easter egg later on in the game, grab the basketball. It's on top of the arch to the right of the lift you come up.
If you want, go through the training missions, but if you're still learning the game and want to try it without ranged weapons, you're even more psychotic than I am. Although, maybe you want to exploit a bug to get extra ammo to recycle later in the game. As it's far too close to cheating for my tastes, I don't do it, and don't recommend you do it either. However, I'll include it anyways.
Normally, when you leave the training booths, all items and skills you picked up there are removed. However, you can work around this. If you go into inventory mode, then drag the item you want to keep out of the inventory slots, then leave, it'll be dropped and land ahead of you. In the technical booths, nanites are spawned non-stop, and there's a replicator, so you can buy as many med hypos as you want. If you're getting more than one item, don't pick them up until you're ready to leave. Like I said, I don't reccommend this, but I wanted to cover everything.
When you enlist, you have to make an important decision right off the bat. Are you going to do this using only the wrench, or are you allowing yourself the rapier and the crystal shard? Unless you plan on using the rapier, move onto the section for Navy training. If you want the rapier, move onto the section on Marines Training.
Once you've enlisted, its time for training. In year 1, you'll get +1 strength, no matter which job you choose. So, you've got a choice between getting +1 hack, +1 repair, or +1 modify. In year 2, your choices are: +2 cyber affinity, +1 maintenance, and +2 standard weapons. In year 3, your choices are: +1 research, +2 endurance, and +2 agility. Normally, I'd get +1 strength +1 hack in the first year, +1 maintenance in the second year, and +1 research in the third year, but if you want other skills, by all means, go for it.
Training, Marine's Version
In year 1, your choices are: +2 agility, +2 endurance, and +2 strength. In year 2, your choices are: +2 standard weapons, +1 heavy weapons and +1 cybernetic affinity, or +1 energy weapons and +1 cybernetic affinity. In year 3, your choices are: +1 repair, +1 modify, +1 maintenance.
I'd normally get +2 agility in the first year, which gives you the agility stats you need for the rapier on a silver platter. However, +2 strength is perfectly acceptable too, and will work for earlier in the game. I'd get +1 energy weapons and +1 cybernetic affinity or +2 standard weapons in year 2, and +1 maintenance in year 3.
I've completed the game following the walkthrough many times of course, but I remembered to note what stats I upgraded when during my latest game, crystal shard + wrench only on Impossible. I went to training with the Navy, and got the following skills: +1 repair +1 strength, (may as well ensure I can't hack, right?) +1 maintenance, (for more implant power) and +1 research.