Most RPGs have combat as their central conflict resolution mechanic, and why not? The kinds of stories that most gamers seem to want to play, it even makes sense. If you make a grand epic of swords and sorcery, at some point in time you're going to have a fight going on. In fact, most of the danger in the game will come from people with hostile intent towards the characters. However, every game handles combat differently, and one of the key differences between many systems is how they handle wounds. When making your own game, or looking for a game to fit a campaign you have in mind, this is one area where you are going to need some time considering what you want.
As I said, there are really two flavors of combat damage. Systems where there are no wound penalties. Which often use hit points to represent a character's stamina, and ability to turn a lethal blow into something significantly less so. The other option is for their to be wound penalties. Things that make it harder to do even basic action as you get more and more hurt, until at last your body gives out on you.
There are strengths and weaknesses to both ways of handling it, and which one is right for you, or your game, is ultimately dependent on the kind of feel you want to go with. So, let's go a bit more in depth into each one.
No Wound Penalties
The most popular example of a game with out wound penalties would be Dungeons and Dragons. In D&D (or AD&D, or any version of it really) your character's Hit Points represent their martial prowess on the defensive side of things. How good they are at taking a blow that would kill a person, and deflecting it, or twisting with it, to take only a scratch. As characters get lower and lower in Hit Points we're supposed to imagine them getting tired more than getting really hurt. That 40 damage blow from the Two Handed sword didn't actually cut the warrior in half, but when the warrior blocked it he was lifted off his feet and his arms are numb from the impact.
The problem with this, is that at least with the name 'Hit Points' it is counter intuitive. It also, if the GM isn't consistent, feel like the player is being robbed. "Hey, I rolled 60 damage, what do you mean he blocked it? I want some blood!". On the other hand, this very robbing opens the GM up to using narrative to making the fight look more spectacular than just two people wailing on each other, and can work very well. I still remember when the Warlock (of the Princess and the Warlock) showed me how well this could work in a Star Wars game he ran. It is not something to be looked down on.
The best thing that no wound penalties has going for it though, is that it is simple. You don't have to keep track of anything but your Hit Points, and at 0 (generally) you go unconscious. Easy peasy. This damage system also works out well for more epic games, where you can explain away those nickel and dime hits as being attacks that were just barely blocked by the more skilled opponent. It works well when done right.
On the other hand, you have wound penalties. These make every impact hurt. You can see your character starting to lose consciousness from an early stage as you take penalty after penalty. Each blow has a major impact on the character's combat capability, and people tend to start really shying away from getting hit. I mean, do you want to take a 40 damage hit when that is going to raise the difficulty on every roll afterwards by 20? I sure don't!
Wound Penalties help make systems feel more gritty, as I said above you can actually see the damage being done. They aren't without their problems though, as characters with really high wound penalties just seem to shrug off massive damages for negligible penalties, but they do work.
The biggest problem that Wound Penalties have however is their complexity. At what point do you go up to the next category? What impact does that have on me now? When does that impact go away? Why is a sword wound I took last week still making it hard for me to think today?
These are all questions you need to answer, and things to look out for. If you are bringing in new gamers, it may be better to stay away from wound penalties to help keep things simpler. However, you should try them out at least once. It really makes a character's defensive choices shine when they can see the benefit not only in how much health they still have, but in the penalties they aren't taking.
The Big Difference
Perhaps the biggest difference that the choice of wound penalties or not will bring into your game is the most strategic way to take down a group of enemies. Without wound penalties, you are better off hitting someone until they are dead. Removing that potential source of damage from the game as quickly as possible, and then moving on to the next one. Perhaps you should prioritize some things over others, perhaps not, but you just wipe one opponent out and then move on to the next. With wound penalties, it is the opposite. You are better off hurting as many people as possible and letting the wound pens do the work. Sure they may get lucky, but everyone is ultimately safer if all 4 opponents have a +10 wound penalty, as opposed to 3 people being fresh, and one of them being dead.
Basically, the tactics change, what is good in certain situations change, and you should look at that as well. Have fun with them, try out both ways. Gritty with wound penalties, or more epic without?