I always go for a bard-like build: Imperial with high personality to convince everyone that I'm their best friend, lock picking to get at the goodies locked away in their bedrooms, and long swords in case someone sees me taking their exquisite shoes. Magic is nice for supplemental healing and the occasional invisibility spell, but I don't rely on destruction or conjuration in fights. If I can't kill it with my sword, then I don't deserve to live.