Here is my thief/assassin, a lone wolf chaotic-neutral that does what he wants no matter what.
No armors of any kind -- just bow and arrows, dagger and shield. And no magic except healing -- but that will be later. Looking for nice clothes/robes; no hoods or helmets, don't like them at all.
Lockpicking, speech, marksman, one-handed blades (again, just daggers,
maybe a sword if I find one cool enough), blocking, sneaking and pickpocketing are my skills of choice. Maybe hand-to-hand too -- won two brawls, both in the first attempt and found awesome.
So far ignoring the first given quest and avoiding getting new ones, even side quests. Heading for that town farthest north (forgot its name) because I love snow and ice and I'm curious about it, and exploring everything I find on the way. Right now in another town to sell all the loot -- was almost over-encumbered -- and buy better equipment in order to hit the road again.
Here he is:
[img]http://img14.imageshack.us/img14/6244/35339288.jpg[/img]
Typing from my Mac now, have tons of cool screens on the PC, will post them later.
I play the TES series since Arena when it was launched, and for the first time -- don't know why -- I feel compelled to explore everything on my own first, without going anywhere because someone told me to.
And I'm not missing any quest -- talking to the people in the town I'm currently in, people gave me quests that I had already did without knowing; so my char told them something like "is that what you want?", the quest was immediately completed and I got my reward (and one of them even gave me an achievement).
Bottom line: play the game any way you want, you won't be penalized.

EDIT: By the way, he is a nord (tried a dark elf befor, didn't like him) named Lithos -- my nick. Playing in expert mode.