You should pay the most attention to your health and armor displays in the bottom left corner at all times. Highlighted in green is your health meter. Your health has a limit of 100/100. When you get below 25 health, you should immediately find a nearby medkit or health station. The armor meter is in blue, and also has a limit of 100/100. Your armor absorbs damage, and can seriously save you in some situations. When it is depleted, your health starts to go down each time you are hurt.
In the bottom right in purple you'll see the ammo display. This shows you how much ammo you have currently (on the left) and how much you can hold (on the right). You shouldn't have to worry about ammo in the game, as there is plenty throughout the levels. Highlighted in yellow and in the center is the crosshair, which helps you aim and is different for each weapon. Some weapons, like the Rocket Launcher, come equipped with a laser, which is shown above.
On the top right highlighted in white is your flashlight battery. Once it reaches zero, you can no longer use your flashlight and must wait for it to charge up again. In the top left is the weapon inventory menu, highlighted in red. You can scroll through your weapons with a mousewheel (if you have one) or use the 1-5 number keys to select a weapon.