Class
The most important part is choosing or creating a class. If you feel adventurous you could try answering the personality questions; if you don't want too many choices you might like a premade class; however for the most well-rounded long-term character you will probably want to design your own.
Class design is more complicated than it looks. Due to the way levelling works you don't necessarily want to put your favoured skills as your majors. There are four things to pick for a class, the name, specialization, favored attributes and skills. Major skills start out with a higher score than Minor skills, however both can increase at exactly the same speed, unlike those affected by your favoured attributes. The name can, of course, be anything from Lowly Janitor to Grand Inquisitor. The Specialization is generally whatever category you choose the most skills in. Favorite attributes will start a little higher than others.
The way skills and attributes improve in the game is with use. When you use a skill you get better at it, and eventually it goes up. Improving your skills by at least 10 points (up to 30) will give you bonuses to the governing attributes when you go up a level. This means that skills you use more will go up faster, so they need not start out as high, with a few exceptions. It also means that you should have at least one skill for each attribute, and focus on improving skills for a particular attribute before leveling up. In general, you only need one type of armor (including unarmored) and weapon (including hand-to-hand), and can use other slots for more interesting things. You start with all the skills, you are just assigning bonuses. On the other hand, skills with low scores tend to fail, so it is harder to use and improve them.