they do gain some health back, like 10/15% ish i think.
Your only playing on Normal i guess? or did you start on Veterna? thats normal but with increased spawns, once you finish the first play through you go onto Elite difficulty, stuff gets a lot harder, complete that and you end up on Ultimate, that is no joke, some of the bosses are incredibly tough.
Theres a few hidden bosses you probably wont have encountered, also Nemesis bosses, these are also very hard. Dont worry about Warden Krieg, him and Cronley and a few other bosses are not really meant to be too hard, once you start seeing Nemsis and the hidden bosses then you will know the meaning of tough
Also lots of people are saying the expansion zones, even on the easiest difficulty are harder than the regular content, so be prepared for that.
A few tips for you
Try and keep your HP roughly 100*level, so if your lvl is 30 you want roughly 3000hp.
Try and get your DA to the point where you cant be critted, this becomes important later, as some bosses will one shot you if not
It is extremely important to try and cap your resists, on normal there are no penalties to resists, on Elite i think its -25 and on Ultimate its -100 iirc, obviously as you get higher and better gear it often has better resists, but it is important to keep your resists high especially in Elite and Ultimate.
Points spent in skills can be refunded, points spent in the mastery bar cannot.
Points in devotions can be refunded.
There are secrets everywhere, tons of them, keep a good stack of dynamite and revisit old towns like Devils crossing as often new quests based on level appear.
Got bored of the Cabalist as you just let the pets do everything. Made a Death Knight and got him to 30 and he destroys!! But, I heard there is no gear that lends itself to DK so it gets really weak later on. So I shelved him until they release some goodies for him. Now working on a Tactician who is actually pretty similar to the DK. 
