Lenny is rabidly awaiting Oblivion for PS3

Locpicking is fun especially when you get the unbreakable lockpick from yet another sidequest and its completly necesscary to do most jobs so its another of my suggested skills. Security also helps Sneak in terms of pickpocketing I think.

Skills that you may want.

Security (this lets you own locks)
Sneak (this lets you steal or strike from the shadows and get a good
position for ranged combat)
Destruction (this covers all magic that damages enemies)
Athletics (this helps you move faster which means no one escapes)
Acrobatics ( this lets you jump higher)
those 5 are great skills for a Warrior-Mage if you really want defense then take an armor skill but i wouildnt take more than one type (ie light, heavy, or medium armor skill) and you can still have one left over for a weapon preference as a major skill then you can still use the other skills buit they dont let you level up when you raise them. BUT THEY ARE STILL USABLE AND UPGRADEABLE SKILLS! Bows are pretty nice too especially for someone who wants a lot of magic or likes blowing stuff up.