To be honest I'd say being thieves/stealth characters are the easiest so but it's also fun to kill people by cutting throats or killing a room without anyone taking any notice that's why I think it's so popular.
The actual story of the game isn't set towards evil characters to me. The dragonborn song is talking about a hero getting rid of evil so I feel weird when not playing the main quest as a heroic Nord, that's why I haven't done much of it.
But to be honest I've been playing a thief and it's fun but after a while it does get a little repetitive. I've been playing on Master and only using loot I find. It's actually much more fun that way. Even now I have to run away after being chased, that's why I love my archer/assassin, he's not perfect or overpowered but good enough to be good if that makes sense... It's still a challenge for him. Probably because I've only put perks in Archery and Sneak at the moment and haven't play dual dagger/slit throat 30x sneak style haha. I'm extremely low defenced as I only use the armor I have found and I haven't spent perks into light armor. It feels much more real to me playing like this.
Personally though my first character was an Altmer pure destruction mage. It's my favourite way to play any game but unfortunately it's not as effective in Skyrim or at least not at first. I wish there were more elements and different styles of destruction spells. That's probably because any game I play I love having mages that have elemental powers

Warriors look fun and challenging. I want to make a Barbarian/Beserker (Nord 2H + LA) but I'm probably going to get my butt kicked on Master. Especially when I never smith or anything.
Look at me blabbering and I bet no one will read... Why do I bother typing out all of this? I guess to kill time and because I'm so indecisive typing to myself is like trying to decide on how I should play... I type out of my head it's like thoughtless speech that you can read