As far as race I myself suggest an Imperial or Dunmer, why? Imperials have
good personality bonus, Dunmer get disposition bonuses. Redguard is also a
good choice because of his incredible long blade bonus.
As far as class goes, this may be a little confusing, but you should do a
custom class. Name it what you want, and take stealth as specialization. Make
sure you get short blade, long blade, light armor, speechcraft and possibly
mercantile mixed into your skill set. Stay away from athletics and acrobatics
( actually... speechcraft can cause unneccesary gains too but we wont get into
that now) Take some other stuff that sounds good. Make sure though your main
weapon ( either short or long blade, I prefer short) and armor is in " major"
skill, you get a better bonus. You also might want to take restoration. I
suggest the following
Major:
Long Blade
Light Armor
Short Blade
Restoration
Security
Minor:
Sneak
Speechcraft
Mercantile
Conjuration
Mysticism
For attributes take personality and either endurance, strength, or speed. When
you choose sign, take the Lady ( for Lady Azura right?)
Why did I tell you all this? Simple, this character will have
great personality ( especially if you´re an Imperial) pretty good endurance
( important for hp) and can handle short sword and/or long sword, the two most
common weapons in Morrowind.
I make no claims that this is the best or ultimate character. In fact, this
class needs some work but it will have some skills for some of the guilds I
tell you to join and can handle itself well enough. It gives you the skills
you´ll need when learning things.