SaGa Frontier is a bit of a return to form for the franchise after some odd experimental titles on the Super Famicom - instead of being centered on large-scale wars and the like, it's back to being a fairly standard JRPG, albeit one with nonlinear gameplay and seven small stories to experience instead of one large, overarching one. It's also notorious for being one of the most unfinished Square titles in existence, with characters, areas and even large portions of storylines being cut for time constraints (and indeed, there's even signs of an eighth quest that never saw the light of day). Still, despite its rough-around-the-edges presentation and uneven difficulty, I happen to enjoy it for it fun characters and uniquely bizarre atmosphere.
A brief lesson on skills and weapons
Thankfully, Frontier's skill/weapon system has been massively upgraded from the earliest SaGa games - weapons don't break after a certain number of uses anymore (although guns still run out of ammo, which is only replenished between battles), and skills aren't randomly gained or lost - once a character learns a skill, it's permanently added to their repertoire.
There are a ton of skills human characters can learn in the game, but they all fall under four basic types - martial arts, swords, guns and magic (which is further divided into about 10 different "schools", but we'll get into that later). For fisticuffs and swords, new skills are earned by using your existing ones until you randomly gain them in the middle of a fight (which seems to have better odds of occurring if you're fighting tougher enemies). Some are linked to other skills or equipment sets, as well - you'll have to have two swords equipped to earn 2GaleSlash and Cross Slash, for example. Naturally, most punch skills are linked to Punch, most kick skills are linked to using Kick, and throws are linked to AirThrow. Pretty straightforward.
Ah, and do also keep in mind you'll need at least one open slot on your active list to earn a new skill. If all eight of your slots are full, you won't be able to learn any more until you "seal" some away to free up slots.
Handgun skills operate much the same as martial arts and sword skills, but you don't earn them mid-fight - they're added to your roster at the end of the battle and you must manually assign them to a slot before they can be used. Again, some may require two guns to learn, or will deal extra damage from having two guns equipped.
Magic skills must be purchased, with the top-tier skills being closed off until you complete some matter of side-quest (getting the "Gift", as the game terms it). Also note that some schools conflict with one another - you can't have both Light and Shadow magic at the same time, for example.
Light <-> Shadow
Rune <-> Arcane
Time <-> Space
Realm <-> Mystic
Mind <-> Evil
Life <-> Mirage
(That said, you won't even have to worry about half of these - only Mystics can get the gift for Mystic Magic, and Evil, Mirage and and Life magic are only usable by one character each).
Aside from the aforementioned magic limitation, there's no real restrictions on skills - any humanoid character can use any type of weapon and learn any type of skill, and will eventually earn the stats to back up anything they use often. However, there is one small advantage to playing a "purist" character - if you equip 6 or more skills of like type (and none of other types), the cost for all skills of that type goes down by 1 WP/JP. Thus, for a character like Rouge, you can equip him with several magic skills and use his basic MagicChain skill at no JP cost (and all of his other skills for 1 MP cheaper). Quite useful for continuing to boost magic-related stats. The same principle also applies to physical, magic and gun attacks, of course.
(There are two exclusions to this rule - martial arts and sword skills can be mix-and-matched, as can all of the various magic types.)
A brief overview of the "races" in the game
Most of the above rules apply to humans - they can learn nearly any skill and will gain stats through battle to support any skills they use regularly - if you use a lot of magic, you'll gain WIL, PSY and INT. If you use physical skills, STR, DEF, VIT and QUI. As with most RPGs, humans are the generic all-purpose race.
Mecs are pretty much the opposite of humans - rather than earning new skills and stats through battle, Mecs have little to gain from fighting (aside from learning the occasional skill from defeated enemy Mecs). Instead, their stats are determined almost exclusively by their equipment. Equipping armor will bolster their DEF and HP, equipping weapons will raise their STR stat, and so on. Thus, they're usually at their best when equipped with heavy artillery like rocket launchers and laser guns, and with only a few pieces of armor they become useful meat shields to absorb physical damage for the rest of your party. They are somewhat weak to magic, however.
Monsters are a wildcard of sorts - their equipment is extremely limited (only four accessory slots) and their stats are determined exclusively by the form they take, which can worsen or improve based upon monsters you defeat in combat. By "eating" a defeated monster, they'll absorb one of its skills and, if the monster is significantly stronger or weaker than them, they may change form, taking on the stats of the monster they become. They can "store" up to seven skills between forms (the first seven slots on their skill list - the eighth is volatile and can be overwritten each time you eat a monster). Thus, they require a fairly intricate knowledge of the skill system and monster stats to use effectively. However, they do gain small bonuses to their "core" stats that increase a bit each time they transform, so it's to your benefit to experiment with them.
Finally, there's Mystics, of which there are only a few in the game. Mystics are a strange breed, sort of a midway point between humans and monsters. They acquire some stats and skills through battle, but the majority of their strength comes from their non-removable "Mystic" weapons - MysticGlove, MysticMail and MysticHelm. By attacking a monster enemy with these, they can sometimes "absorb" that enemy into the item, taking a portion of their stats and one of their skills with it. By using that item again to absorb a new enemy, they'll erase the old one and replace it with the new, thus they have stat growth (or shrinkage) comparable to monsters.