Actually Kreath that isn't true for Cow -- it's true for most skills like Death and Fishing, but not for "combat skills" -- the ones that can go in the bottom two bars of your screen. Those only give you bonuses while they're active! Which is incredibly not intuitive, I know... working on that!
However, leveling up cow does give you a few minor things. There are leather armors out there that give you extra protection if you have ranks in Cow. Actually I plugged those in this afternoon so they will show up tomorrow!
Luka - also you might want to pick up a second skill. If you leveled up Unarmed high enough to get Kick before you turned into a cow, you can still use the Unarmed Kick power, because it doesn't require any hands, just feet. And it's worth using Kick while fighting so that it levels up with you -- there is equipment (again, coming tomorrow!) that gives any kicks more power -- including cow kicks! -- but it usually has Unarmed skill requirements. You might also pick up Combat Psychology, which can be found in the newbie dungeon, or, for now, in a shop in the castle past the forest. If you mix that into your fighting rotation and level it up a bit, you'll have a mez and a terrify attack, plus another damage attack. It will definitely make it a lot easier to level as a cow. Plus, the equipment coming in tomorrow's build will sometimes randomly have cow-related powers.
There's no way to tell how powerful things are by looking though, nope. We probably need to attach that to a skill!