Stats are a feature of heroes. They are affected by hero level, rank, augmenting, some skills, some talents, equipment and jewelry. You can see heroes' skills at the Hall of Heroes.
See augment for how to increase the base value of your hero's stats.
Life
Life (a.k.a Health, Hit Points) is a measure of the damage the hero can absorb. It is affected by Armor and Outfits.
Strength
Strength increases attack damage of the hero (given as a min/max pair of numbers). It is affected by Weapons and Outfits.
Intelligence
Intelligence increases skill damage (every 100 intelligence gives hero skills 1% effect). It is affected by Helmets and Outfits.
Agility
Agility increases attack speed. It is affected by Amulets. By running some experiments, it has been found that each 200 agility increases a hero's attack speed by 5%. (thanks to soltys13 and popington, on AG).
Each 40 agility increases a hero's attack speed by 1%
Armor
Armor reduces physical damage taken (but not magic damage). Can be affected by skills, talents and technology in castle, but not by augmenting or equipment.
Every 100 points increases 1% armor.
Low: 1% - 20%
Medium: 21% - 50%
Heavy: 51% - 80%
Beefy: over 80%
Barracks soldiers have the following base armor values:
Recruit: No
Guard: 10%
Paladin: 10%
Knight: 40%
Other upgrades (Gladiators, Clergymen) and Heroes have no base armor.