Really depends on the game.
In the frontal assault vs stealth I go for stealth. So games like Alpha protocol I'll be leveling stealth and pistols and using silent takedowns and silencer headshots.
In the armor/sword vs magic, I go for magic. So for games like DA: O. I'll go with a Mage.
Now, for something like Oblivion I have a lot of options. My favourite character was my last one. It focused mainly on stealth and bows, usually picking off targets before they could notice her, but had a wide variety of spells, mostly Destruction, to finish off anything that isn't dead by the time it starts getting close.
In MMOs, I really play all the classes and see what fits me the most. In WoW, I'm currently far more comfortable with melee classes, playing a tank/melee DPS (Druid).