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BasilZero said:
Just do side quests and sell any weapons or equipment that you find that you wont need to get better equipment. Make sure you have a decent shield - I usually get one that has a high shield strength with either a quick recovery or regen health ability.

Health regen is definitely the way to go most of the time, especially against bosses who kill your shield super fast.  New players should grab one of those as soon as they can.

I'd also highly recommend the Commando or the Mechromancer girl for new players.  They're both kind of easy-mode.