I prefer Rogueish characters. They're usually the most fun to play as. Plus, at least in my opinion, they usually have the best looking armor.
Warriors are normally overpowered at lower levels due to the low armor low level mooks have, but become cannon fodder later on due to armor values skyrocketing coupled with the usual handicap warriors get of having low magic resistances. They're also usually given less skills in favor of making their skills more powerful, so they become boring to play.
Mages are almost never balanced well. They're either overpowered throughout the entire game *cough*DragonAge*cough* or so weak as to be useless. And they're almost always given low armor values and health so they die quickly. Though they usually have a nice assortment of spells to cast, a large number of them tend to be copycat spells that all do the same thing, or status effect spells that become useless the further into the game you get due to the higher resistances.
Rogues sit nicely in the middle. Rarely overpowered, but also rarely underpowered, usually balanced well throughout the game, with a nice sized bag of tricks for taking down my enemies. Not as sturdy as the Warriors, but not as paper thin as the Mages.
Second choice would be Clerics/Priests, especially if they have a Melee combat option. Paladins are another option, but they always just feel like Warriors with added flair.