Immortal characters revolve around titles, and so that is the thing you have to think the hardest about.
Immortals all start with a skill of dodge(1), which means that they have the same degree of dodging anyone might have.
Then, you choose two skills or talents. These can be pretty much anything you like, but it's a good idea to choose things that you think you will have fun with. There's nothing more tedious than choosing abilities that bore your socks off.
Do not get too focused on the terms. What you are looking for here is some ability or range of abilities that you might not be able to do with your title, or that supports the things you plan on doing a lot.
Anything powers need to consider picking up skills in Astrology, Spellcraft, Cabalism or Tailoring. Other skills worth considering are Alchemy and Artificing. You don't have to start with them, but they are handy. There's not too much point in choosing any more than one of them, however. You're better off making up at least one of your skills/talents.
Sneaks should learn a skill like spy, thief, assassin or, possibly, archaeologist, unless they have a title that directly supports sneakery. The Lord of Thieves probably isn't going to be interested in learning a thief skill.
Tanks are advised to pick up warrior at some point, but it's probably not worth starting with, unless you really, really want to be a warrior.
So, after you have chosen a couple of skills/talents, it's time to choose a couple of weapons.
You can choose any two weapons you like, and not only do you get the weapon, you get the skill that goes with the weapon. If you are choosing a 40 megawatt pulse laser, you would also get a skill in personal optical weapons. You might consider where you're going to get the thing recharged when it runs out of power, however.
Weapon skills are broad. A skill in one handed sword will work for most normal one handed swords, unless they're very odd. Hammer, mace and club skills are also very similar.
If you choose shield, this defines the way you will use what you're holding in your primary hand.
After you have chosen weapons, you need to choose four spells/special abilities.
These spells are ones you know well, and cost nothing to cast. It is a good idea to choose spells/special abilities that are going to be handy, but not the complete focus of your character. If it is really important for you to able to find traps, then you are probably better off developing it as you play the game.
Once you have chosen spells/special abilities, you get to choose a magical item. It can be anything you like. However, if it's really really tough, you are unlikely to have it for long, since some big, tough immortal with a penchant for bullying is liable to come along and take it off you.
Never choose a tough item or one that targets a tough immortal if you are the type of person who can't resist telling other people how tough your item is. Your chance of keeping a tough item is predicated on keeping your mouth shut until you're tough enough to protect yourself.
After you have done all of these things, you need to choose a name, a place that you come from, and you also need to decide if you are related to a tougher immortal. This is called scionage. Scions get more resources, but they have to work for their patron.
After you have done all that, you should be ready to play.