As others have said, it kind of depends on the mechanics. But in general, if given the option, I'm going to go sneaky, at least for my first playthrough.
Though depending on my mood, and the character concept I have in mind, I might make one of the others. I remember the first time I played a warrior in Skyrim, how fun it was to just not give two fucks about dungeons. I'd walk in, a proud Son of Talos, and Fus Ro Dah upon entering the dungeon, declaring my presence to any who would stand against me. I'd smash the groups of enemies that would show up to investigate the sound I made, which would clear out a few rooms worth of threat. Then I'd casually wander deeper, shout again to wake up the next group, and stomp them. Made dungeons very quick compared to stealthing the whole thing. xD
But I still prefer stealth, and avoidance when it comes to conflicts. I like the satisfaction I get from getting in, doing what I came to do, and getting out, all without anyone being the wiser.