I prefer to pack light and be sneaky when I can. I also like to pack weapons that minimize fight time, sniper rifle, super powerful spell, etc etc. I tend to play a mixture of smart/charismatic guy with bonuses in strength or dexterity depending on the game. In Oblivion, I went almost exclusively mage for the first time and really enjoyed it. In Fallout 3 and New Vegas, which I will be grabbing today, I played a smart/talky/sniper guy.
I prefer to fight smarter, not harder. If I can hit them before they see me, or finish the fight quickly, that means less risk and less, you know, dying. Dying is bad for business folks...well unless you're an undertaker or funeral home. XD