The Chosen One: Averted, the player is simply someone the Emperor hires by virtue of previous work experience with his agents, making them unique amongst the PCs of the five main series TES games.
At the end, if you try to keep the key and activate Numidium for your own use, you find out just how averted this is — it crushes you dead and goes on a berserk rampage through the empire.
Crazy-Prepared: You'd better be. You'll never know if the dungeon you're about to save the damsel is a Vampire Coven or not. You'd better stock up with extra weapons, trinkets, healing and resistance potions and so on.
Glass Cannon: If your custom class forbids all armor and only gains 1 hit point a level, but otherwise has good skills.
Good Old Fisticuffs: Always an option, unless your class forbids it. Notable for ignoring all material immunities.
Healing Factor: Health regeneration during rest is mainly determined by your Endurance. It's advised to have high Endurance when you have to rest in a dungeon in order to save time, since most quests have a very strict time limit.
Knight in Shining Armor: Made possible by joining a Knightly Order and wearing all heavy armor. If you don't have armor, then the Order will give you some. In fact, you will get benefits such as free inns.
Mighty Glacier: If your custom class has base 25 speed and 75 endurance, and gains 30 hit points per level.