My last character was a wood elf marksmen with a custom class, with sneak, acrobat, pickpocket and illusion spell...
Sneak = pickpocket
If you are playing Oblivion then definitely join the Dark Brotherhood; those are part of their skill-set.
I will most likely go ahead and play my stereotypical male Breton custom spellsword class. Although we obviously know little about Skyrim's skills, I would say whatever comes out to be Blade, Restoration, Illusion, Block, Heavy armor, and Athletics/Acrobatics. That all depends on how major (minor?) skills are set up. I find that Bretons are good both as and against mages, I have good melee, illusion can be quite useful to get enemies to attack each other and give me a stealth compliment. As stated before, this all depends on how the skills are arranged in Skyrim. Will have to wait for magazine/release to find out.
Since Morrowind I have always played first with a Mercenary type of character. Then when i know the game a little I make a new Necromancer type of character. Much more challenge ^^
A what? Mercenaries in medieval times often used pikes or crossbows (of course depending on where they are from). Seeing as how neither of those are in the game, I have to assume 20th century. Seeing as how guns aren't in the game, I have no clue what you just said. Telling us what skills/attributes/speciailization the classes are would help a lot. Telling us what they're close to would do just as fine.