delay is fun ;p chances are you hit harder (aka Dark Knight)
Laguna is right though, check out the armouries (sp?) and weapon shops around where your home town, i found some good stuff there!

as for the dying, you can de-level as well, which is a bummer, but hey, at low levels it's not so bad, and you end up at your homepoint which is sometimes useful, saves the walk .

go for a cool great axe, ^-^ i'm a warrior, and they are truly the best, admittingly you'll get used to the delay, but it's fun really, because you hit hard! Careful about not going out too far when you begin leveling though! because some of the enemies could be hard.. i found that out the silly way!!