OK, I've played Morrowind before, but I never really got that far into it or really accomplished anything. Granted, that may be because I played it when I was like, 8, but whatever. I got the old Xbox GOTY edition and am trying to start playing it on my 360, but I've got no idea what the hell I'm doing. So, can so MO vets give the new guy some tips? Like, are three any places I should go to first? Where are some cool/unique items? What race should I pick? What are some fun/cool side quests? And how in the name of Hircine do I not miss an attack? Stuff like that. Also, what skills should I use? I know I want to use archery, light armor(heavy armor is way too heavy), one handed swords, and sneak, and that's about it.

I suggest just playing how ever you feel Morrowind really lets you do what you want, more than newer TES games.
That said... yes, Morrowind can be frustrating at the start for newer players.

Pick whichever Race you want. Dark Elf are usually considered the Race that can be shaped into any play style with the least trouble.

If you want to use Marksmen, Light Armor, Sneak, Long or Short Swords.... then pick them as your Major Skills !

In order to hit an enemy successfully, do three things:
1. Start a character with a Major weapon skill of at least 40-45.. otherwise you are doomed. (and make sure you're using a weapon from that Skill)
2. Keep your Fatigue full. Fatigue affects almost every single thing you do in the game. If it is low, you have a big chance to fail at actions, most notably is combat.
3. Be patient.... the start of the game is frustrating and slow. But the rewards are great if you stick to it.

For starters, join a Guild or a Great House and follow their quests. They usually start very easy, and help you gain Skills.
There is a Guild and a House aimed at each type of gameplay...
House Redoran is combat. House Telvanni is magic. House Hlaalu is stealth. The guilds should be obvious by their names: Fighters, Mages and Thieves.
There are other Factions/Guilds as well. The Temple, the Legion, etc. You can also join one of them for easy quests at the start of the game.
The Main Quest is also a good option, and will let you see a lot of the world.

If you ignore all the Factions and just wander the world, you can easily be killed over and over, since most of the enemies do not level to you. I'd wait until you have some levels before you just wander off into the Ashlands.

Some info to read....
http://www.uesp.net/wiki/Morrowind:Starting_out: Some small spoilers here, but it helps you get your bearings at the start. Points you in the right direction if you're struggling.
http://www.uesp.net/wiki/Differences_Between_Morrowind,_Oblivion,_and_Skyrim: If you have played newer TES games, you should orientate yourself to differences (some are rather large) on how Morrowind works.