Though I'd say that being a sneaky character is more fun. Being a mage would be a lot funner if magic had a sneak multiplier.
My first character will be a mage, most likely. Probably because of the new magic system, and http://i801.photobucket.com/albums/yy297/b_harrison/skyrim/skyrim_gameplay_village.jpg image would look like one bad ass wizard.
Edit: To clear things up, when I say the thief type character, I'm thinking of a robin hood type person. A chaotic-neutral character.
When I think of an assassin type, I think of someone like Artemis Entreri. An evil for evil's sake type of person, that stabs you when you sleep.