GURPS combat gives you a spread of possibilities not open in much more abstract combat systems - you can decide how much you want to commit to your attack (All-Out Attack, Committed Attack, Attack, Defensive Attack), where you want to attack (various hit locations from "anywhere is fine" all the way down to optional rules covering spine, arteries, and joints), and how you are attacking (normally, telegraphically, deceptively, as a progressive indirect attack aka setup attack), attack mode (point or edge, or even point, edge, or something exotic), and even how you're defending (riposting, stop hitting, stop thrusting, or counterattacking).
Whew, a lot to choose from, if you're even using half the options from GURPS Martial Arts. If you just stick to Basic Set, about half the stuff I listed above disappears - but not all of it. There is still enough to make it tricky to figure out what's useful to do with the skills your PC has.
But even once you know those options, it really helps if you know what your odds are - what a skill 12 versus skill 15 versus skill 18 even means in actual play.
A few things are fairly obvious - the higher the skill you roll against, the better. Getting a net final skill roll (aka effective skill) of 15 ups your critical hit chances (crits go from 3-4 to 3-5). A 16+ is even better, because it cuts critical failures down (17 is a normal failure, 18 critical, instead of 16 being a failure and 17-18 critical failure) and raises your chances at a critical hit (3-6, or almost 10% of the time).
Luckily, Doug Cole has covered this for both melee and missile weapons.
Skill Levels for Combat in GURPS (well, melee anyway).
Skill Levels for Ranged Combat in GURPS
Those two posts helps break down a lot of options and possibilities into a few good guidelines. If you're just getting started in GURPS or if one of your players is, this is a good way to figure out what makes sense to try out in fights.
If you want to try out GURPS combat, I've just heard that someone is hosting a Saturday night online "GURPS gladiators" game (looks to be small g, not only the Retarius vs. Murmillo kind). No, I won't be there, I'm busy on Saturday nights right now.