I'm an old school D&D player, so when I'm at the creation screen, appearance, backstory, personality and future skill build all come together.
I decide basics: are they cautious or foolhardy? Honest? Greedy? Helpful? Psychotic?
I haven't done any Alternate-start mods yet, but even my decision of whom to follow (Hadvar or Ralof) is always done in character.
Spoiler Merrick followed Hadvar because he was the first one he saw.
Adelle was impressed with Hadvar's cool head while in danger, plus he knew the layout of the Keep
Julia followed Ralof because she wanted nothing to do with the Imperials
Whisper followed Ralof because she wanted the chance to kill Imperials
Inara followed Ralof because she was a true Nord
Inga followed Hadvar because she was a true Nord
Role-playing (to me) means not always making the best decisions mechanics-wise. There's plenty of loot on most shrines, but some of my characters refuse to take it, many even leave an offering.
As Hagrid mentions, pick gear for Aesthetics. Maybe a Nord would refuse to wear elven, despite better stats than current gear. Maybe a character won't use gear gotten from the dead (or only use gear from fallen enemies)
Most of my characters have a "color" and I try to get gear that fits their theme. Most also have something they collect: daggers, troll skulls, amethysts etc.
One of my characters carried the Old Orc's axe with her all the way to Skuldafn (and beyond!) because she planned to leave it at a shrine to Malacanth and hadn't come across one yet.
EDIT
Sounds like you've got a theme!
Steel Plate is probably the most "knightly" looking armor.
Ebony also looks great, but you may not want to wear black.