Security is always one of major skills. I like it that much.
I generally prefer stealthy/agile type characters (i.e. Argonian). Sneaking around and picking enemies off with a bow is much more interesting than running around with a sword, axe, or hammer. In fact, I'm only level 14 on my current save, but both my agility and speed are above 100 whereas my strength and endurance are below 50.