I have tried all 3 of the above and I always gravitate back to the sneak play through. I guess it is more to my style. I have played 3, including my current, sneaks. First was a Kitty, no magic, just some bow and dual wield daggers, razor and woe. Second was fun, it was a Breton, mystic archer assassin, she used conjured mystic bow, and rarely daggers, 2 blades of woe, pickpocketed the first one. My current play through of sneak is by far my hardest challenge so far. He is an Imperial rogue. He uses no armour, just regular clothes, though I will probably enchant them later, dual wielding daggers, with illusion. He is mainly a thief, and will be avoiding any combat he can. Just started him last night. Snuck by all the undead in bleak falls and the bandits outside on the ledge leading in. Used fury to limit me down to one bandit to kill inside, and had to fight 3 durgar and the main boss, couldn't sneak past those.
Mage, I have tried twice, one was gimped I think, just was getting my ass handed to me too often, second was doing ok, surviving, but found higher level and AOE spells really sucked and I just wasn't having a good time so I dropped that run through half way, right after the college quests and half way thru the imperial side of the cival war, was playing High Elf Thalmor type character.
Warrior, I have a play through going right now, that is saved, it is a kitty dual wield in heavy armour. Not a bad play through but I have the wrong follower, Lydia. I need to get a bow person, or give her a staff that does lightening or something. No use us both rushing in to battle, need someone sniping.
So to sumarize, I love the sneak play through, hate the mage, and warrior is ok. LOL