I went for a "battle mage" build, combining both magic and melee. I don't remember what I did for my build, but I finished the game the first time with the Purple Flame Shield and the Crescent Kalij, which gives you some idea. That way I had a lot of magic at my disposal, but a good chunk of the time I used melee--in fact, most of the time (even though my weapon was obviously augmented by my magic).
Mainly for looks (sorry) and the ability to roll around, I used the Venerable Sage's set (with the Black Boots). With a combined build, you can take on pretty much anything that comes at you--and I didn't seem to do too bad in PVP, either. Extremes at either end, though, will likely be more challenging if that's what you're going for.
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