I really don't know... its a tough one.
I started out on Oblivion with a basic standard imperial called "******" because a friend had recommended the game to me and I didn't think I'd be playing it for that long at all. Little did I know that it would soon become one of my favourite games.
After messing about a bit, mainly doing most of the main quest and a few side missions here and there (in between nicking clothes in plain sight and getting slaughtered) I realised that imperials weren't all that great and started my Orc warrior guy called Urgal-Gro-Lee who I must have done most of the game with before I fancied trying out a sneaky type.
I tried a fair few as well as some mixed types and didn't get hugely far with any. Out of Mage, Warrior, and Thief I think the thief class is the least developed which is a bit of a shame. I saw my brother doing an Altmer Mage game and fell in love with the spell creator system as well as the ease of levelling up it brings what with being able to constantly train spells wherever you are. So I called my Altmer "Gandelf" (cool name rite?) and have many many hours played as him completing most of the quests though weirdly I'm still yet to properly complete the main quest on any of my playthroughs, It's just too easy to get distracted.
With Skyrim I'd like to see if they've sorted out the thief class as well as seeing if they've worked the Khajit and Argonians stick tails out of their asses (obviously for beating people to death with).
Though to be honest my first playthrough might just play the standard male nord barbarian what with it being set in Skyrim and all.