I am a sneaky bastard. I have all the instincts of a sneaky bastard, and yet no cause to employ them in my day-to-day life, as well as moral qualms. I get quite a kick out of being able to lie, cheat, steal, and stab in the back as I please, so give me an RPG, and the first thing I'll try out is whatever variation of the rogue archetype is in vogue. It's funny, the mage is touted as being the 'intelligent' archetype, but in my experience all the mage has on their side is comical amounts of power - awesome, no doubt, but your more roguelike talents, when allowed to be employed creatively, are far more of an intellectual diversion than shooting fire out of your hands until everything dies. Of course, that's more true in tabletop RPGs, rather than computer ones, with their built in limitations, but even there, it's the rogue's life for me.
Particularly the lying bit.
I mean, in terms of combat mechanics, it all depends on the way the game works, and the first thing I do with an RPG is to sit down, look over the skill trees, and figure out what to take and what to do. After that bit of thinking, it's just an exercise in seeing how well I can execute the plan. Yes, a mage is usually going to be the most powerful (again, depends on system), but there's usually no fun there for me, and if I can get it done with any class, then 'most powerful' doesn't mean much to me.