It can effect every player differently, there isn't an exact answer for each one its a case of focusing on what you think needs to be improved with regards to the player. From my own experience I would suggest this.
1.Shoot = Shot accuracy, free kick accuracy, shot technique, shot power, curve
2.Pass = Pass accuracy, short pass speed, long pass speed etc
3.Dribbling = Agility, dribble speed, dribble accuracy
4.Defence = The overall defence stat will rise if points are allocated here.
5.Speed = Speed, acceleration
6.Power = Body balance
7.Stamina = Stamina:w00t
More stats will be effected than just this, these are some of the fundamental stats that seem to work with the training options.