Race : Argonian
Birthsign: The Thief
favorite attributes: Speed and Agility
major skills :
Marksman
Light Armor
Acrobatics
Sneak
athletics
Destruction
Alchemy

Why no security? Because At any level of security you can pick any locks with no problems.
Any suggestions what I should Do with Acrobatics and athletics?

Didn't mean to do that haha. Anyways i would swap one for armorer. It's always nice to be able to repair your armor and weapons. Also maybe trade the other one for mercantile it's nice being able to invest your gold into stores after awhile of selling goods.

I would take out Alchemy as that is one of the fastest skills to level in the game. Other than that yeah this seems like your generic thief.

I would remove marksman and alchemy and athletics, replace them with mercantile, handtohand, armorer/security/alteration. If you really need to stick to marksman I would keep alchemy and athletics, remove destruction and replace it with blade/handtohand/blunt or keep destruction. Acrobatics are useful for a thief you'll find out later maybe

I'm not sure that I'd spend favorite attributes on speed and agility. Argonians already get +10 to both, and The Thief will give you another +10. The +5 from favorite could be better spent elsewhere - endurance for certain, since Argonians take a penalty for it, then.... maybe strength, maybe luck....

Majors are pretty much fine with the possible exception of alchemy. Alchemy gets a lot of heat here, and mostly rightly so - it's one of the fastest increasing skills in the game and can easily, if managed poorly, unbalance a character by leveling him up too fast for the rest of his skills to keep up with his enemies'. But if managed well (that is, not just spamming restore fatigue potions for profit), it's actually a very useful major. It's one of the few skills in the game with which an increase in skill level opens up entirely new abilities. With most, the basic abilities are available early on and only refined as skill increases, but with alchemy, the ability to use more of the effects of an ingredient makes an enormous difference all by itself. The most powerful and useful potions and poisons are those that become available when you can use all four effects of the ingredients, so getting to that level makes a huge difference. And making the skill a major makes it easier to get to that skill level. But it means that you have to be a bit cautious with it, just so that you don't level up leaving your other skills behind.

I probably wouldn't pick both athletics and acrobatics. I like to have one of them as a minor so it can increase freely and the other as a major. My own preference is to make the one that's NOT a part of the character's specialization the major and the other the minor, so that they increase at similar rates. If you do it the other way around, the one that's a specialization major increases very quickly and the one that's a non-spec minor increases very slowly. So, presuming that the character's specialization is going to be stealth, I'd make athletics the major and acrobatics the minor. And in place of Acrobatics, I'd definitely take Mercantile.

I NEVER pick security as a major. It's not only useless, but harmful. Not only can you pick any lock at any skill level, just by playing the mini-game well, but the security skill increases relatively quickly, which means that the character just levels up that much more quickly, with nothing to show for it but a marginally better chance to beat a mini-game that you don't need any help beating anyway.

How about this build?

Race : Argonian
Birthsign: The Thief
favorite attributes: Speed and Agility
major skills :
Marksman
Light Armor
illusion
Sneak
athletics
blade
Alchemy

Should I replace Alchemy with Alteration?

Nah... I wouldn't. Again, you have to kind of keep an eye on Alchemy, but if you don't spam potions, it's fine as a major. Alteration is just about useless though, at least in my opinion. It increases dangerously quickly and pretty much all of the effects are better had through other means (unless you insist on using Open spells instead of lockpicks). Feather and the various shields are arguably the best effects, but they're more effective through potions or enchantments than spells. Water breathing is pretty important, but there are at least two obvious water breathing enchantments in the game. So you just need (at most) enough alteration to cast the basic effects, and that's easy enough to get with it as a minor.

How about Mysticism?

Mmm...

I often pick mysticism as a major, but that's because I don't use it at all.

See.... this is where things start to go pie-shaped. My basic approach to putting together a character build is to pick a set of majors, part of which increase slowly and part of which won't be used at all. That keeps leveling at the slow pace I prefer and caps it at the point I prefer - generally somewhere in the 20s. For that purpose, Mysticism is a great major - taking it as a major means that my characters have access to soul trap whenever they buy the spell, since majors start at apprentice level and soul trap is an apprentice level spell. The only other mysticism effect they use at all is detect life, and they use enchantments for that rather than spells, so they go through an entire game without casting a single mysticism spell.

Since I have to assume you're not shooting for that sort of build, I'm not sure what effect mysticism would have. It increases relatively quickly, but there really aren't any useful effects - or useful as spells at least. Detect life and soul trap are both better as enchantments, and that's about it for mysticism. So if you're looking for something that will be a comfortable major - sure. It probably won't go up at all unless you go out of your way to use it, and if you do go out of your way to use it, it'll go up relatively easily. But if you're looking for something that will actually be useful for the character, I don't think it'll accomplish much.

If you're looking for something useful and at least somewhat controllable to put in place of alchemy, I'd lean toward restoration or armorer. Restoration is just a nice support skill. It can serve well as an offensive magic skill, but that requires some dedication. For non-mages, it's just healing, and the higher the skill level, the cheaper the healing. And it's the slowest-increasing magic skill in the game, so it's just about never going to force an unwanted level up. Armorer increases a bit quicker, but the perks are, in my opinion, the best in the game. The journeyman perk to repair enchanted gear is vital if you plan on using anything enchanted, and the expert perk to "repair" to 125% is arguably the best combat bonus available, since it applies to everything.

I'm going to jump in with a further complication, and suggest that you might not even want Sneak as a major. Assuming you're starting in the tutorial dungeon, you can easily raise Sneak to Apprentice level before you get to the end of the tutorial, especially if you take advantage of the several non-hostile rats (just sneak around behind them a bit.) Thus you can start with an eighth skill at Apprentice level, by making Sneak a minor. (You can, incidentally, do the same thing with Block, by repeatedly blocking attacking rats with your shield. And Athletics and Acrobatics can also be trained up in the tutorial, if you want to bother.)

I would offer that Security makes a good major for a thief. It's relatively slow-leveling, and more importantly, the leveling is controllable, since you can choose to pick locks or not. (You can buy a cheap Unlock spell that works on very easy locks, and save your lockpicks for the harder locks.)

I also like Acrobatics better than Athletics, for much the same reason. A high acrobatics will get you up onto places that can't be gotten to otherwise, and the leveling is completely controllable.

For a Thief build, I like:

Marksman
Light Armor
illusion
Security
Acrobatics
blade
Alchemy