I have been playing Skyrim for a few days now, i started with an archer. I wanted to try out sneak based skills, such as sneak, pickpocketing, etc. I also like magic. In this game, is their a way to make a "Mage thief" type character? Like do spells get criticals when your in stealth??

You can use illusion to augment your stealth skills.

Spells don't get a bonus from from sneak.

No sneak criticals for spells. Your best friend in stealth is Illusion anyway, let them kill each other and save you the bother.
Silent casting perk is essential when you can get it. Light from spells can give you away though (when cast, the light from spells held ready to cast in your hands does not alert enemies).

So it isn't really worth trying to be sneaky and use magic?

Well it's perhaps not worth being sneaky and using destruction, but illusion and conjuration are fine.