It's basically health, stamina or magic. i've been going health but i have no idea.

what do you do when your sneak attack misses? I think you need some stamina unless you're planning to 1 shot everything, get by on alchemy, or let your companion do the hard work.

Depends on what skills you use also.
My stealth character will be adding points in health mostly but will also need some stamina.

Health and Stamina. Do it like this for every 3 levels : 10 points in stamina, 10 points in Stamina, 10 points in Health.

Well Health & Stamina.
Health = take more hits before you die, Stamina = more Power attacks, longer Sprints, and carry more stuff.
Magic stat well this should be last unless your making a mage thief (only really used for casting spells, maybe enchanting but you can just rest between enchantments).