Avatar Wan is the first avatar and a firebending prodigy. Despite the fact that he essentially made up everything as he went along, he's still an extremely formidable combatant, with an excellent combination of skill, speed, and power.
Wan is a very skilled firebender despite his lack of formal tutelage. In fact, he essentially invented the art.
Wan was pretty consistently very powerful in terms of firebending. It's hard to tell exactly how large his blasts are because of Vaatu's inconsistencies in size, but they're clearly very large.
Wan's firebending provides powerful offense, but his airbending is what gives him the mobility that makes him so formidable.
Earth and Water
There isn't too much to say about these elements. Wan can create high speed projectiles with them and has decent earthbending power.
Wan doesn't have too many concrete speed feats, but he is fairly respectable, especially considering he only has two episodes and only one major fight.
Wan's most impressive physical attribute is without a doubt his durability. He's one of the most durable people in the avatarverse, meaning that even if you can tag him (difficult enough on it's own), you'll be hard pressed to actually put him down.
In his fight with Vaatu, he tanked:
And he was still fine at the end of the fight. He's almost impossible to put down with blunt force (by the standards of the avatarverse), giving him yet another edge in most of his fights.