Obviously, only take skills for weapons you plan to use (Weapon proficiency points are theoretically infinite, so don't worry about them), so don't take Power Throw and Power Draw. Also, mounted archery and shield are only for their respective users. Athletics is of dubious use for mounted characters (i.e. most people), but does come in handy during tournaments and sieges. Crossbows don't have a skill tied to them, but only the small, weak ones can be used on horseback.
Ironflesh and Leadership are mandatory and should be maxed out on the PC at every opportunity. Prisoner Management only needs a few points innitially, but you definately want one point in it. Medical skills are also pretty important, although you can put them on a companion if you want instead since only the highest medical skill in the party is used (although you add an extra bonus to each party skill based on your level, even if you're the one with the highest skill, so investing in surgery at least is a pretty good idea).