When starting a fantasy type game (like an RPG).....

What character do you play as?
 
I like to play as a knight on a first playthrough, or anyone that uses mainly a sword and a shield with a nice set of armor. On a second playthrough, I like to be a mage type person that uses magic, although I'll usually have a sword with me to just in case.

My favorites would be rogue and mage. I don't prefer one over the other.

It depends on the game, like if there is a combat focused character or a combat character that has a certain degree of magic or spells.  In Diablo II I usually played as a druid because they had a nice mix of spells and could hold their own in melee combat

I usually like stealthy characters, I think I learned that way from playing Theif  at a young age.

I used to pick whatever the knight character was, but my experiences in games over the years has changed that. Now who I go with is determined by what type of RPG it is and how the game plays. For instance if it's a top down game like Diablo or Baulders Gate then I go with the mage for my first play through and the knight the second play through. If it's first person or got the third person over the shoulder thing or behind the back thing going on then I go with the Theif/Assassin/Rogue character, because after playing through so many stealth games and playing stealthily in Morrowind and Oblivion and playing the stealthy class in MMO's over the years I have learned that stealth pays.

Caster.

I generally prefer to go with someone that is largely physical like a knight/warrior class, but it's going to vary between games.

I like being an archer type of person/elf or what have you. if that's not available then a dark mage. anything that does ranged damage basically. I find warrior/barbarian/knight classes kind of dull for some reason. 
i also like pretending i have a vagina so i choose to be a woman most of the time.