I'll play them all, but generally prefer huge tanky character that aggros everything in a five mile radius, at least in fantasy RPGs or action RPGs or whatever. Fallout is a little different because you aren't supposed to be a "hero", per se. So I've preferred high science, lockpicking, and repair. I just can't let a locked door, chest, safe, computer program, etc go to waste, and I hate having to pay so much to repair armor.
Oh, and sneaking in the shadows up behind someone, waiting for his buddies to turn the other way, and stabbing him isn't more clever. It's just the ability to stare at a screen while nothing happens for minutes at a time and not get bored. Walking in that room and having every enemy focus on you and live through it? That takes timing, positioning, moving, swinging, blocking, jumping, room awareness, potion chugging, and dodging all in the heat of battle with your lifebar dropping - that takes thought. Of course the mage is almost always the most intellectually challenging in these types of games. But yeah, stealth is for people that specialize in patience and a little platforming skill (hopping over three rocks quickly to get to the next shadow).
In mmorpgs I always played tanks. Fighting that boss in a dungeon always felt so unheroic when I'm just standing behind it plinking arrows into it the entire fight.