Morrowind is such an open-ended game that you can enjoy role-playing all sorts of specialized characters, but completing quests and stomping monsters is a lot easier if you have a character that's competent in a variety of different roles. You can choose to be assigned a character class by answering a series of questions at the beginning of the game, or you can directly select one of the 21 pre-generated character classes, but you can create a more formidable character by choosing to make a custom character class.
The pre-generated character classes have nifty names, but they're really just prepared templates of major and minor skills. By handpicking your skills, you can generate a class that isn't burdened with major and minor skills that your character will rarely use. As a result, you can create a customized "thief", for example, who will be more adept at coping with the challenges you'll face than a thief character generated by selecting the thief template. All of the pre-generated character classes are still viable, so if you want to role-play a character that best suits your personality, you should answer truthfully the questions you're given by Socucius Ergalla in Seyda Neen at the beginning of the game. If you want to have a character that grows in power more quickly, however, choose to create a custom character class.
 |  Gentlemen, choose your skills. Unarmored skill is definitely one you should skip |
Skills that you select as major and minor skills will advance more rapidly than miscellaneous skills, but some skills are also just much easier to advance than others. Even if you select Security as a major skill, you can still only advance in that skill by trying to unlock or disarm suitable containers or doors, and there's only a few of those in any given area. On the other hand, you can almost constantly practice Acrobatics by making your character jump around while traveling, and you can rapidly advance any of the spell-casting skills by casting low level spells. If you want to generate a balanced character or take your time advancing through the game, you might want to choose skills that are difficult to advance as your major and minor skills, since the other skills will advance fairly rapidly even if designated as miscellaneous skills. Most players, however, will likely want to gain levels and power quickly, in which case they should choose major and minor skills that are easy to advance.
 |  You’re Beautiful, Baby. Use the admire option frequently in order to develop your Speechcraft skill |
There's two key features of skills that you should always keep in mind. Firstly, your chance of successfully using a skill depends, in part, on how fatigued your character is at the time. That's particularly important to keep in mind when using personality-enhancing, crafting, thieving and repair skills, since there are direct costs associated with failing to successfully use the skill. Secondly, since skills only improve when they're used successfully, your skills actually increase more rapidly as you gain proficiency. It's extremely difficult to quickly improve crafting skills without already having some basic expertise (30+) because of how frequently you'll fail when attempting to use those skills. It's particularly worthwhile purchasing a few skill points from trainers for those skills that are otherwise difficult to advance.