The character advancement system is a very specific art. If you abuse (maximize all your advances) you'll be far ahead of the level-scaled monsters. If you don't, you may find yourself ineffectual. Not sure if there is a middle ground.
Based on my shoddy memory, this is how it goes (edit - wow, ninja'd x4):
Skills are tied to stats. As you advance (train or practice) skills, you earn multipliers for improving the associated stat when you level up. Use lots of mind skills, you might get 5x the value for putting a level improvement point towards your intellect or whatever
You have some limited number of "Major" skills. These start at higher values, and might be easier to raise. As you improve these, you earn points towards leveling up.
So if you make your major skills things that are easy to improve through constant repetition (running, jumping, sneaking, armor) you might find that you level up faster than you can get enough stat bonuses, and might be stuck with 1x or 2x stat multipliers.
I'm not sure if that made sense? I can dig up a wiki link or something if it wasnt clear.
Thieving is fun, but I find lockpicking to be a waste of skill investment -- it is easy enough to get decent "open" spells early in the game, and to design custom 100% lockpicking spells by late game.
enchanting items for stealth or camouflage and then stacking them to get crazy levels will make you nearly invisible. It is fun for a while, but it sort of breaks the game and saps the fun out of it.
Similarly, health and stamina regen items are fun but sap the challenge from the game. There is a particularly broken set of robes, and of course you can have your own created.
Offensive spells and ranged weapons basically suck. Melee is where it is at, long blades tend to be the best but enchanted short-blades can strike more rapidly and discharge their enchantments more often, so there is something to be said there. Using other weapons is fine, but you'll be doing it because they look cool rather than any practical benefit.
Having some points in enchanting -- even if you plan to pay someone else to do all you enchanting for you (recommended) is good as it improves the recharge rate of your enchanted items.
Gosh, lots more, but basically HAVE FUN and EXPLORE a lot. Tons of side quests, lots of awesome story to discover. Great game.
It's pretty old, so you can probably load up a bunch of visual enhancing mods and a modern computer wont break a sweat. I think someone put together a crazy 2GB or 5GB modpack or something that wrapped up a bunch of patches and graphic enhancements and such. Careful though, you have to sort through a lot of fan-boy nudey garbage and elf-porn to find the quality work.
Which reminds me, be careful of some of the books -- the Bethesda writers are a little pervey sometimes.
What else.. The city of Vivic basically looks like a big piece of shit, big let down when I got there. there was one really good mod that added all sorts of Mexico DF style floating gardens and markets and things around it that makes is 1000x better.