I love playing Khajiit, even if they do get taunted to no end by enemies. I play a stealth/bow/brawl type character and they are fantastic at it. Night Eye is useful if you have the FXAA injector because it makes night.. and caves, really actually dark. And they have perhaps the coolest look in the game (though I'd give Bethesda a kudo's for making all the races look unique and interesting this time around). That and I love finding the Khajiit merchants outside the cities and talking with my mates. Last there is nothing more uber than '
Rak'shasa and Kharjo, the Khajiit duo extrordinaire!'

Oh and no Khajiit is complete without Fists of Steel in the Heavy Armor perk tree. Even if you don't wear heavy armor it's a must for all 'true' Khajiit brawlers! You just need to wear heavy gauntlets is all when your gonna brawl.
Edit: Yes my Kjaiit is named Rak'shasa. Coolest name ever? Of course!