I've started the game as a mage (high elf), but am wondering if I should re-start as a Thief before I get too into it.

Quick Pros and Cons

Mage:

pros-spells are cool
cons-problems with stealing and getting sent to jail, I'm having difficulty switching spells fast enough. I wish I could assign a hotkey to a spell to just cast it, and also, I wish I could assign spells to the Left Mouse button. Am I missing something?

Thief:

pros-can steal, thieves guild seems very well developed
cons-no d&D backstab that I know of, will I die a lot? What race should I use?

Thanks!

Yeah you get backstab. I am a fighter but try to sneak around alot. I do x6 damage when backstabbing w/ a blade and x3 when I sneak attack with a bow.

Btw, you can hotkey..

Go to your main menu.. select your spell menu, scroll til you get what you want in view hotkeyed. Hold down any key (1-9 keys) on the keyboard and click your spell.. now anytime you want to use that spell, scroll, bow, sword, potion etc.. this is how you do it.

Speaking as my own custom ninja class (lol).. I'm both a mage and a thief.. both are very fun to be. Theives guild quests are very fun and rewarding.. however I don't think they'll help me prepare to win the game. Mages on their own I find are very weak.. if you play this game for fun, mix it up a bit.

to be perfectly honest i would be neither, i started out with a warrior, and i have become quite good at both skills, just choose basic warrior major skills like block and blade and add some more interesting ones like destruction or restoration that way u get the best of both worlds

Do as me: use both ^^
I got a thief with those skills:

Athletics
Blade
Block
Destruction
Light armor
Security
Sneak

It is actually quite good, at least when I realized that it's easier to fight if you don't sneak meanwhile

I don't really know why I created this battlemage-thief, maybe it is because I like strange builds or because I couldn't make up my mind.

Mine was like this..

Sneak
Athletics
Restoration
Destruction
Light Armor
Blade
Speechcraft

Only thing I regret getting is light armor as I find it useless with all my thief quests.