A couple of general points:
-Use multiple save slots. People who claim that Bethesda games are buggy based on Oblivion and Skyrim have no idea what they're talking about. Even with the latest up-to-date patches, save games can and will get corrupted. In-game, you're only given six slots, but you can (and should) manually move the files to back them up. It's a lot better than it was at release, but you're a lot better off potentially wasting time than losing all progress and having to start over.
-Pay attention. This is a Bethesda game, not a Zenimax one. Your log will keep track of most of what you need to know, but by no means all. Take notes.
-Learn to use the map. Many dungeons (though distinctly not graveyards), and basically all of the plot ones, are enormous, especially in comparison to later entries in the series; there's one in particular (you Daggerfall veterans know which one I'm talking about) that I'm pretty sure is larger than the entire Oblivion overworld. To navigate them, the game gives you a fully rotatable 3D map that will make you forever after curse games that don't; you'll find yourself lamenting whatever great disaster caused video game cartographers to lose the great technology of 1996. It does take some getting used to, however; few computers could run a map of an entire dungeon at once, so you're limited to working with only a certain piece at a time (which you can change by moving the map up and down). One you get the hang of it, you'll wonder how you ever did without it.
-If you're caught committing a crime, don't stick around. Either surrender to the guards or bolt. The game will keep spawning more and more of them, and eventually it WILL crash.
-Note that fast travel isn't instantaneous. Time actually matters in Daggerfall. Nearly all quests have time limits, and if you dawdle, you might not be able to go where you need to, complete it, and make it back in time. Teleportation can help with this.
-On that note, remember that two places only a quarter inch apart on the world map are often real-time hours apart from each other; fast travel isn't really optional for anything practical.
-Getting a horse is good, but what will really benefit you is a cart.
-Set the interface up to best suit your playstyle. The for-the-time stupefying level of interface customization was a selling point of the game, and it's there for a reason.
-If you ask a person for a place's location and they don't tell you they don't know, keep asking; eventually, they'll mark it on your map. Likewise, if they tell you that someplace is "awfuly close by", that doesn't mean it actually is.
-If applicable, be careful of playing with certain people around. The childguard may prevent you from seeing bloodsplatter and corpses, but it doesn't do anything for the naked women.
-While playing, take a moment every so often to stop and appreciate the music. It's one of the few things that's been consistently great across the series.
As to your build: that's pretty much up to you. The character creation system is pretty straightforward, and while it's still gameable, you can't take both Immunity: magic and Critical Weakness: magic to give yourself a big boost anymore. Just remember that the higher tier skills contribute more to your advancement than the lower ones. I would strongly suggest putting at least one weapon or offensive magic skill in the primary tier. I did once manage to beat the game with a character who focused exclusively on language skills- it was fun walking through the final dungeon and not having to fight- but that's definitely an advanced move; I died a lot getting there.
