I need a bow or some armor I guess. I can't see myself being able to hunt the caves till I have those.
The Bow is okay from a distance, but it's practically useless for dealing with anything in melee range, and arrows can be difficult to gather at times. A sword is usually your better option, unless you can setup some form of trap to deal with an enemy that's pestering you, assuming you have time enough to set it up.
Good examples of traps would be deep/lava pits, pressure switches rigged with TNT, automatic or manual piston crushing corridors, and many more if you're creative enough. Generally, traps are good to setup around your house/fortress to deal with stray enemies that might wander in, or be chasing you.
Side note, pressure switches linked to dynamite in large groupings are as dangerous as a trip-mine happy devices blaster... If you link them up too close together they might destroy parts of your house, or possibly all of it, not to mention in extreme cases can cause serious lag...