First character is always my role-playing character. Play through the story, look and act as generic as possible in relation to the setting, that sort of thing. I always like to give them a personality of their own though. I wont do too many side-quests on my first character, maybe the odd few here and there.
Firstly, for my role-playing character I'll be a Nord with a short beard and a glazed eye, who knows little of magic but is a master with his weapons of choice; A two-handed battle axe, and a long-bow. The axe is his main weapon, used for close combat, all-out brawls and the majority of the fighting. The bow is used for sneak attacks, picking off enemies from the shadows while he's still unnoticed. He isn't a sneaky character, but if he has the opportunity to shoot someone who hasn't seen him, he will take it! A hero, he doesn't break the law.
Secondly, I'll make a character who I'll use to play through the side-quests and have as much fun messing around with as possible. A female Bosmer, she knows a few spells that help her with her heists. She mainly uses a short-bow for quick, long-ranged attacks and duel-daggers for when the fight comes up-close and personal. She's red-headed has a scar on her cheek, and she isn't afraid to break a law here and there. She seduces men and steals there things, and is constantly moving towns to avoid guards. She does most of her heists alone, but will do jobs for the Thief's guild now and again.
Wow, I really need this game.