I've made my Shield-Maiden, Imperial race. Blocking, Heavy Armor, Single Handed (maces are nasty!), Restoration, and a little Smithing. Level 9 or so.

Once you get the rhythm of blocking down, it's really a lot of fun. Blocking a power attack keeps you from getting killed, though you do get staggered. Blocking a normal hit allows you to connect your own power attack, and with the mace, it's usually lethal. I even got a special kill animation on the first dragon.

The real sweet thing was what I found with a random loot book. Alteration school, Transmute. Raw iron ore becomes silver ore, and silver ore becomes gold ore. 84 magic cost, so you can just use it while you run around.

With the extra gold, I opted to buy a horse. Those things are incredibly annoying. The first time, I left it too close to the bandits, and it got in the way a lot and took out 2 of the 3 bandits, leaving less skill gain for me. The second time I left it too close to the enemy encampment, it killed them all before I could get there! No skill gain!

I'm not really sure what the point of them is. They don't really run faster than I do, even in heavy armor, and they run out of stamina just as easily.