Welcome to the Dungeon campaign of the Shades of Darkness expansion. First, let's have a look at some general tips.
Might or Magic? For the campaign the default is Might, so I stuck with this. The main strategy of the Dungeon is to do as much damage as possible as fast as possible, and Might seems to fit this. So the walkthrough that follows is based on this.
Blood or Tears? The question here becomes - do you want to do more damage or avoid as damage as much as possible? I went with damage avoidance, as most dungeon creatures are kind of frail. So Tear it is. "Feign death" = get out of damage free. If you invoke it on a unit, and it gets hit, the damage goes to zero and until that unit's next turn they cannot be targeted except by AOE magic. Useful. "Distract" makes combat so much easier it is not even funny. Range units got you down, pluck this thing right next to them, and by the time they can do any damage to one of your units, you should be in melee range. I do not know if it works vs undead, constructs, etc. (but it does against elementals). So keep that in mind. "Feign death" does fool undead, etc. Also, since I like "Reinforcements" and "Regeneration" it's easier to get Tear points.
Custom or Default Hero? Stick with default hero or build your own? I like to make my own, so I chose a Might hero with default Enlightenment. Other good choices are Regeneration master, or Abyss dweller - which causes Lurker attacks to reduce stats. I like free skills though, which is why I like Enlightenment. That way you have 6 starting skills, not just 5.
Skill Choices: Now, I am not going to say: "Get this skill at this level", but here are some useful skills.
Useful Magic Skills: Regeneration, Mass Regeneration, Life Drain, Mass Life Drain, Weakness, Mass Weakness.
High Priority Might Skills: Reinforcement I, II, III. Toughness I, II, III. Cleave. Giant Slayer.
Useful Might Skills: Archery I, II, III. Tactics I, II, Counterstrike I, II, III. Pressed attack.
General skills just about every town should get: Logistics and Pathfinding (a secondary hero should follow you around gathering things if at all possible... one with the +20% skill). Feel free to try other builds as this ties up a lot of your skill points.