Do not do the Brinhaven Arena until at mimimum you have level 44 Agility. I would do Barbarian Course until then. Once you hit 44, you can choose whether to do Barb Course or Brimhaven Arena. I personally did the Arena.
Once you get 52 Agility do the Wilderness Course. Bring nothing except for a slash weapon (dragon dagger is good) and maybe Boots of Lightness. You may also bring food, it may be a good idea to bring cakes. I personally thieve a full load of cakes in Ardy and then use the level to teleport out there. As long as you are not skulled, don't worry about pk'ers. Sometimes it's fun to run around the course even though you know you'll die, and watch the pkers waste their food on obstacles.
Once I was out there training, had a Black Beret, Drag Dagger (s), and Boots of Lightness. And a full load of cakes. A pk'er came in full rune, and a dragon longsword and started attacking me. I kept running around the course, and he must have has mediocre agility, because next thing I know he disappears. I look around, and then go down in the little dungeon area that you fall in if you fail on the rope swing or the log balance, and there is a nice pile of loot
