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You will need to figure out how you want to play the game and plan your character accordingly. Notice that on the character menu you can toggle "show all feats". That helps a lot to see what level you will need each stat to be at. Keep in mind that you'll gain 1 feat every second level, and one stat point every fourth. You can have stats at higher than 10, but 10 is the highest requirement for any feat. Feats are very important in this game, so be sure to check them out.
Stealth is extremely useful. Whether you use it to initiate combat and go first or to sneak by unnoticed without combat it is useful.
Pickpocketing is fun and you can use it on pretty much everyone. It also provides access to a lot of oddities that you might otherwise miss on NPCs you aren't planning on killing, along with keys and access cards for various areas that you likewise wouldn't get unless you killed those NPCs.
Lockpicking and Hacking mostly provide extra loot income, but also provide access to some interesting places here and there. Both are useful. More useful in combination (nice! I hacked the door! Crap! The locker inside requires lockpicking...) If you're going stealthy and only want to take one of Lockpicking or Hacking, take Lockpicking. It's used to open ventilation shafts which are very useful for sneaking around in combination with stealth.
Persuasion and Intimidation have enough useful cases to warrant taking them, although you may not want to bother putting points into both. Mercantile should probably be skipped.
Crafting skills are tricky. A number of good items require two or sometimes three craft skills. I recommend doing research in the forums and looking carefully over the wiki to see what you are going to want to craft. I also recommend both maxing whatever craft skills you take and making your Int higher than 4 (7 is a good number). There are some gems (metaphorical, not literal) that you can craft with low skill ranks but you'll need to identify them and plan that into your skill progression if you want to try not maxing a crafting skill.