There's a variety of choices to make while you're crafting your character. The following picture will show what kind of skills you can learn in Deus Ex. It should be noted that the PlayStation 2 version character creation uses the same principles as the PC version character creation, so everything here still applies.
Your code name by default is always JC Denton. You can type in whatever name you want for your real name, although it will not be said in-game (however, it will be shown in various datacubes, newspapers, bulletins, and emails). There are five different options you can choose from for your character's appearance. You only have a limited amount of skill points, so you must choose wisely; you can always downgrade a skill if you made a mistake. By default you already start with the trained pistol skill, but you can downgrade it if you like.
Below is a list of various skills, which is detailed more in the skills section. All of them have four standard levels: untrained (lowest), trained, advanced, and master (highest). Each upgrade takes a certain amount of skill points (which are earned throughout the game for various accomplishments, such as completing objectives or finding a certain area).