Arcanum Of Steamworks and Magick Obscura
I would never pretend to tell you what type of character to create, especially in a game where you have as much free reign as this one. Choosing a male or female character doesn't make much difference, except female characters have less choices in the race category. You might as well choose a background to make your character a little more interesting, but be careful not to choose one that loads up a single stat at the expense of many others unless you really want your character to be unbalanced. Whether you choose to specialise in technology or magick, or even play the middle road, it matters not. You should be able to complete the game with all character types. Having said that, let it be noted that Melee or Magick specialists have it a lot easier than those who choose the way of Guns. Also, be sure to consider the likes of Persuasion as a favoured skill. It's good to have the option of being able to talk your way around combat every so often. One other thing to consider at character creation time: dwarves make lousy magicians because it costs them twice as much Fatigue as any other race to cast a spell!
Unfortunately, multi-faceted characters are hard to build, due to the scarcity of points; a gun-slinging gambler won't reach his full potential until too late into the game to fully enjoy either skill. The game rewards improving stats above all else, which isn't necessarily a bad thing, but it does limit experimentation somewhat. Also, the numerous unfriendly encounters means points spent on combat usually pay off more than skills spent in role-playing categories, such as haggling or persuasion. You may need to build several characters before finding the perfect fit.
Do yourself an enormously big favour and make sure to purchase a set of Lockpicks from the virtual shopkeeper at character creation time. I couldn't find any merchants who would sell them, and without them you can't pick a lock on even the lowliest chest. Having said that, if you don't have a set of Lockpicks, you can usually bash open locked containers (and doors!) instead. To do this, first make sure you remove all valuable weapons from both your own and your followers' weapons slots (using weapons to bash damages them unnecessarily). Enter Combat Mode, then Alt+Click on the container or door. Your followers will join in the fun! You will find Lockpicks here and there eventually, but it's handy to have a set from the start.