I start training blunt weapons, almost all the time. Its a personal choice, and it seems blunt weapons are very effective in the game. Also, they're easy to find and cheap to buy. Ok. But always I keep magic around too. In Seida Neen I start by buying a staff (wooden or silver) and a spell if I dont have one on my list. I'm still using the pre-made classes but this seems really pointless, as I can train my character to be anything I want just by going down the stairs of Arrile's outpost and training any weapon I want with the fishes till it is satisfactory
During the development of the character I try to raise him in two stages: Till level 10 he's more a fighter than anything else. Then I "dual" him to mage, to grow up mage skills, and to become the leader of the mage guild. When I reach level 10 the balmora's house (an orc has a house, you're sent by the fighters guild to kill her) is mine, and I keep the alchemy ingredients there. But at level 10 I'm using magic a lot, and that's what matters. Then, when magic is satisfactory I try going to the sneaksman side, and developing thieving habilities. In the end I have what I call "morrowind FMT". Right now I'm playing a Kensai that is not so saint because he uses armour every now and then.
I tried to make a sneak character from the beginning, but it is very hard. With the FMT I can just play it at 100% dificulty, it is hard, but no problem. I hate dying in the hand of the dark assassins, and being a figther in the beggining helps me to overcome that.
Flesh to stone ain't permanent, it seems.