I'm not a pro, but I would recommend a custom class. One that uses at least some magic. You will want to get friendly with the mage's guild at least, and having some magic schools as your skill picks will help with that. Also, magic seems to be a little too useful in this game. You can do more with one school of magic than you can with the various respective skills taken seperately. For example, why take swimming AND climbing when you can just take thaumaturgy and get the benefits of those two (water walk for water and levitate for high places) and more? You are probably going to want recall if you plan on doing dungeons a lot.
Ranged weapons might also be a good idea, because you can combine ranged attacks with ranged spells. I wouldn't recommend any of the languages as skill picks. I'm told that backstabbing can combine with ranged attacks (correct?). If true, it makes it easier to use, since you can remain relatively far away without being detected and shoot.
For getting through the huge dungeons, many people will tell you to follow the right/left wall. That works. Eventually. When in doubt, recall out.