This post contains some spoilers
1) Building a character
STR, DEX, and CON have uses, but they are not useful.
INT, WIS, and CHA are all very important.
INT and WIS should start at 18, dump everything else in CHA. A high (20+) WIS will give you bonuses to exp. INT, WIS, and CHA will all unlock dialogue options. Actually, pretty much everything will unlock a dialogue option but INT, WIS, and CHA will open up more than most.
At this point everything depends on personal preference. Some people say max WIS as high as possible as soon as you can. Some people say max INT as high as possible as soon as you can. Getting CHA to 16 is good. You don't need it higher because you can cast the friends spell as a mage, switch to fighter or rogue if needed (you'll have companions by then who will help with this) and that'll pretty much handle 95% of all dialogue.
2) Classes
Yes, mage is very good to be in as much as possible. However....
Your hit points increase based on what class hits the highest level number first. So if you are a fighter/mage/thief of 4/4/4 and you become a fighter 5, then you go up 10 or so hit points and thereafter you only get one hit point for going up as a theif or mage. So leveling up as a fighter is important.
Levels 7 and 12 are very important in the game. If you become a 7th level fighter before anything else, you'll get fighter-y bonuses. If you become a 12th level mage before anything else you'll get mage-y bonuses. If you become 7th and 12th first in the same class you get some very small, but potentially critical, dialogue options. I actually reccomend hitting 7 and 12 as a thief. You'll get a DEX bonus that you really won't use, but if you're playing a mage, odds are strong that INT bonus won't be of much use to you anyway. Especially by level 12 when your INT will probably be 25 anyway.
So, Biggus suggests getting to level 5 as a fighter then leveling up as a mage or a theif, making sure to hit level 7 and 12 in thief before you hit it in mage. If it were me, I'd do level 6 as a fighter, but I've played the game a million times and have a better idea where all the quests are.
3) Annah
People have gone nuts trying to get her in the party as soon as they see her. You can't. Wait for it.
4) Dak'kon
If it's your first time playing I suggest picking him up as soon as you bump into him. He's my favorite NPC in gaming and he'll leech some exp off of you, but as it's your first time you'll need the extra firepower.
5) Good or evil?
I'd go with lawful good. This is not an obvious selection but it helps in some key areas. If you're evil you can pooch yourself in a couple of places if you are not careful. Now, alignment is dictated by your actions, so it's up to you to make promises, keep them, and be a nice guy.
6) Finally
Remember in this game, dialogue options can get you killed. Combat is something you can survive. I can not think of a circumstance where Nameless dying is bad, though it can be darn inconvient. In one case you actually have to die to solve a puzzle. I mention this as I was screaming at my monitor with rage at 2am because I kept reloading the game after I died at that point and it took me awhile to catch on. I can be slow.
Anyway, welcome to my favorite CRPG!