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STR (STRENGTH)
Affects P.Atk. stat through the strength modifier

CON (CONSTITUTION)
affects maximum HP and CP through the CON modifier
affects HP recovery speed
affects weight limit
affects underwater breath gauge
affects shock (stun) resistance
affects bleeding resistance.

DEX (DEXTERITY)
affects Atk. Spd., Critical and Speed stats through the DEX modifier
each point of dex gained makes around a 1% difference to each of those three stats except at 43 DEX, where there is a jump of almost 2%
affects both Accuracy and Evasion stats directly
amount gained through each point of dex varies, but as a general rule you can expect between .75 and .45 of accuracy and evasion per point of dex gained
the more dex you have, the less of these two stats you will gain by adding to dex
affects shield block rate
Rumored to affect excellent shield defense rate

INT (INTELLIGENCE)
affects M.Atk. stat through the INT modifier
INT modifier forthcoming
affects curse land rates through M.Atk.

WIT (WISDOM)
affects Casting Spd. stat through the WIT modifier
each point of wit gained makes a 5% difference to Casting spd.
affects chance of magic critical hits
affects resistance to Hold (aka Roots) and Sleep
affects resistance to essentially every single type of debuff not listed by the other stats

MEN (MENTAL)
affects M.Def. and maximum MP stats through the MEN modifier
each point of men gained or lost makes a difference of 1%
affects MP recovery speed
affects poison resistance
affects curse resistance through M.Def.
affects probability of magic interruption.