I've always been one to play custom classes in Oblivion, partly to min/max leveling (although that is dangerous with Oscuro's Oblivion Overhaul), but mostly because my roleplay doesn't fit into a narrow niche.

For my first character in Morrowind, I'm going for the extremely sneaky and underhanded style. This has an emphasis on bows, stealth, and ambush attacks. Definitely living in the grey areas of the world, rather then going for heroic acts of unselfish valor.

Race: Wood Elf (Bosmer)
Specialization: Stealth
Favorite Attributes: Luck, Endurance
Sign: The Thief
Major Skills: Spear (END), Armorer (STR), Marksman (AGI), Security (INT), Illusion (PER)
Minor Skills: Mysticism (WIL), Speechcraft (PER), Alchemy (INT), Light Armor (AGI), Long Blade (STR)

It's a rather eclectic build, but one that should work out well. Marksmanship is high at the beginning, and I'll need to use 2H Spears in order to build up endurance at the start.