I'd go with the rogue. Mainly because I think that would be the most comfortable, for me personally and in a practical sense.
My build is much too small to be a warrior. I'm not a walking tank, so carrying all that heavy armor, along with a shield and weapon, would only end up breaking my bones. However, I am really fast--a skill that wouldn't be useful while wearing heavy armor. Leather armor and light chain mail though, win. Also, I'm going to assume it's much more comfortable just to be in than heavy armor. How awkward it must be to sit down or just walk around town with all that metal on. And what about when you have to sleep, or answer the call of nature? Too much trouble getting in and out of that stuff.
As for the mages, they tend to have no armor. I'd like a little protection please. And their outfits always seem like the person wearing them would be so cold. Robes that look rather thin and wispy (or if you're a woman, a bathing suit made out of metal) and offer no protection against the elements. Freeze to death or just feel naked most of the time. Plus, if someone gets close to them--within hand-to-hand range--mages tend to be toast. While I don't want to be the warrior in the middle sending heads flying with every swing, I would enjoy being able to dodge an attack and quickly sink my dagger into my attacker's neck before he had a chance to recover. Finally, how much studying to mages have to do to learn all that stuff? Days, months, YEARS spent reading books to unlock the higher spells. There's probably a reason most mages are often shown as old men (playing into the lack of hand-to-hand reflexes again). They spent their entire lives studying to get that good. Boring. Basic study of mage would be fun, but not to the level of a mage.
So, rogue wins for me. Speed and comfort. Plus, I prefer being able to kill my enemies without them ever knowing I was there, and from a distance. Heavy clanking metal or a sudden fiery explosion tends to rule out that option. A silent arrow in the darkness though, not so much.