I went with the following skills:
Main Focus: One-Handed, Block, Heavy Armor, Restoration, Smithing, Enchanting, Alteration
Secondary: Speech, Archery
She looks pretty cool with Steel Plate Armor and a Glass Sword & Bow, and of course the Spellbreaker shield.
What I was surprised about was how just doing one specific task would level me up so much. I figured I'd have them all collected and be done by the early 20s. I mean I did a few "kill X bandit at Y place" for a little money, and did Bleak Falls at level 10, but other then that, I've done nothing but the Daedric Quests, and I'm like level 32! I still have to collect:
Masque of Clavicus Vile, the Oghma Infinium, the Savior's Hide/Ring of Hircine, and the Ring of Namira.
I was planning on using this character to also collect all of the Dragon Priest masks and get the Thu'um Master achievement (and make a seperate character for the One with the Shadows achievement) but now I'll probably stop with her after I get all the Daedric stuff, and make a seperate character for the masks/shouts, and a third for the Thieves' Guild achievement.
In closing, you can choose not to do any of the factions and have a perfectly fine Skyrim experience. I think a lot of people get frustrated with the game because automatically think they have to choose a side in the civil war, do the main quest, and/or decide: "Well, will I do the college, companions, dark brotherhood, or thieves' guild?" or some combination of them.

Those little bar fights got out of hand 