Redguard with the Lady starts you off with a boatload of Endurance, which is the only stat where it matters when you level it. The earlier you level Endurance, the more health you'll have. I always found that very handy.
As for build I usually do something like:
custom class (insert name here)
Endurance/strength
Major Skills
1. light or medium armor (heavy armor weighs so much that I'm leaving loot behind)
2. Melee weapon skill of choice ( I like blunt weapon or long blade)
3. Marksman
4. Speechcraft
5. Restoration (restore stamina, health and attributes is so handy)
Minor skill
6. Athletics
7. Enchant (train this up, to get more use out off all the enchanted items I'll acquire)
8. Alteration (water walking, water breathing, levitate, open lock... so many useful skills!)
9. Mysticism (travel skills and telekinesis)
10. Pick what suits the character. Armorer is handy for repairing my own gear. With restoration I don't need it as a class skill though. Sneak is great if I want to steal or assassinate, so is illusion. Acrobatics is great too; jump while walking and travel faster! Alchemy is good as well, lots of fun effects. Really, I pick what fits the character.
This is well-rounded character that should be able to handle most things and join most guilds. I sometimes swap marksman for destruction and Speechcraft for illusion, making the last skill conjuration for a battlemage. At that point I won't have a lot of magicka though with the Redguard/lady combo, and I'll change to a Breton or Altmer, or chose a mage orientated birth sign instead.
Edit:
I've tried a few mage builds before, but always ended up switch to melee eventually. Hopefully this time I'll be able to stick to it. I couldn't resist giving myself a weapon as a major skill, but I held off on the armor (although maybe unarmored ends up overpowered, I can't remember if it was good or bad).
I'm not sure if its the same with the xbox version, but on the PC unarmored was broken and would only work if you equipped one piece of armor. Else you had no effective armor rating at all.