Wizard: First of all, this is the most challenging Class to play, but you passed the first test, you picked the right Race. Not only do you get skill buffs to all Magic, an Illusion Spell, and extra Magicka, but you naturally run a little faster than the other races, with Robes, and nothing but Magic in your hands, you will have the highest possible mobility. This is a good thing, because if you get surrounded, or cornered by a big guy with a Warhammer, you'll last for about 2, or 3 hits early on.
However, you don't Have to stick purely to the Mage Stone (Highly Recommended) and there's some other skills that might help your survival, not to mention give you experience with some of the other aspects of the Game. Altmer also excell at other Magical Hybrids with other skills, like Spellswords, Sorcerers, Battlemages, and Nightblades. In Tes lore, a Sorcerer is a Heavilly Armored Mage, but otherwise doesn't use much in the way of Weapons. It's nice to have a backup dagger, for when your Magicka (AKA Mana, or Magical Essence in other games) runs out. A Battlemage adds weapons, and often switches between spells at a distance, the Weapons at close Quarters. A Spellsword is a lightly Armored Scout, that uses Magic, and a Weapons (Doesn't have to be a Sword0 in each hand. That way, they don't have to switch, and can run in, and out of the Melee switching between them. Nightblades are Magic Assassins, they're much like Spellswords with Stealth. (The above list is in order of relative Simplicity->Complexity.)