Do not choose these as major skills:

-hand to hand (it's uselessly pathetic)

-security (once you get the skeleton key there's no point)

-restoration (it's almost IMPOSSIBLE to level up this skill properly, so don't try)

-merchantile (money isn't an issue in this game so don't worry about that)

-speechcraft (it's basically useless, just use a charm spell or fiddle with the personality mini-game if you really need to)

Other than that I can't think of any other advice.

Oh, and make a custom class, not one of the pre-made ones. You'll make a character that's better suited to your playing style that way and you won't be stuck with any skills that you won't ever use.

Luncbox1

I agree with all of them except restoration. I'm currently playing my first real character and restoration is my highest skill, yet I don't recommend it for all classes.  I recommend sneak & alchemy, and don't recommend marksman.