I went through character creation several times before settling on my main, Cordelia. My first was a Bosmer named Malloriel, because archery is my jam, and I knew literally nothing about the Elder Scrolls other than the fact that my best friend loved it.
It still took another three or four dry starts before I hit on the idea that would be Cordelia.
She looked like Charisma Carpenter's character, Cordelia, during the second or third season of Angel, when she had short hair. Happy with her appearance, I forged ahead. This was my "explore everything" character.
That became "explore choices at least somewhat in line with your own views and decisions".
That, too, was augmented by "Ah. I see. She's a mercenary!", because I developed a habit of hiding and posing bodies to throw off suspicion (in my head) should anyone come near.
I pick pocketed at first, but stopped after I got the increased weight perk. I never touched the thieves guild on that character.
I was dedicated because of the freedom. I had my rules, I had personality and history that developed over time, much of which I either imagined while walking a horse down the road, or came up with on the fly when I imagined conversations between she and her follower.
I didn't know who she was when I started. I didn't know much about Skyrim when I started. She still is my biggest investment.
I've made several characters since then. Some have been planned, others are built on exploring concepts. One shows great promise.
She was planned, becauses I couldn't see my way to agreeing with the Stormcloaks (everybody's wrong, but I could at least side with the Imperials). But I wanted to experience the Stormcloak side of the civil war. So, rather than make a character I felt was evil enough to perpetuate the chaos, I made someone with direct ties and motivation to help the Stormcloaks.
If you'll forgive the non-canon liberties: I made Talfrîdh Stormcloak; Ulfric's daughter and heir.
Her story has started with some juicy and fairly well developed chapters, but now that I can't play on PC with the mods I had (such as the follower Arissa), I can't base the story off the events that manifest in the playthrough.
(Dunno if you noticed, but I like to role play, as well, and write fan fic about it.)
So, long story short (too late), I do a mix of both, with mixed success.