On my first play-through, I go knight (tank/restoration) because that is the simplest. Use sword on enemies, use potions/healing on self, get armor.
Then I tend to go stealthy, because I steal stuff and role-play, and like exploring everywhere.
Additionally, I almost always play as non-humanoid races, so I go Orc or Khajiit depending and give them authentic names using their respective languages. Never really got into Argonians, because I felt that they didn't fit their race stats, being more like agile warriors than thieves, as they get described in the in-game books.