Undead have underwater breathing, and a resistance to sleep.
As for what race is best at anything. IMO with the ability to choose your stat points upgrade to an extent, as long as you use the skill points wisely, you can be just as good if not better then anyone else using the skill points to up the attributes.
As you level u get skill points (only from killing monsters) these skill points are used to take up trade skills, or to upgrade you primary base stats, Strength, Intelect, Agility, Spirit, Stamina i think are the 5. You can use the skill points to raise these attributes to a point. And this is really helpful to do, being a warlock, i raised my spirit all the way to the top, and my health and mana regen is godly now. I am casting spells more often because of the rate my mana regens faster, im not dying as often as well because of the spirit boost and the stamina ive worked up... Hope that helps a bit.
Ksetrat - Warlock 70
Xantcha - Warlock 60