Breton is best.
Your choices don't matter much, but the Breton's Resist Magic is good and their Conjure Familiar spell helps in emergencies.
Health is best, but don't neglect Stamina.
When you level up, you get to choose between advancing Health, Magicka, or Stamina.
Advance Health to 200, then advance Stamina to 200, then advance Health to 300. Don't bother advancing Magicka.
Health saves you from dying.
Stamina lets you sprint longer and carry more stuff. Half of Skyrim is walking.
Every 10 points of Stamina also give you 5 points of carrying capacity.
Archery is best.
Perks in bold are must-haves. The rest are prerequisites or nice-to-haves.
As tempting as it is to spend leftover picks on something else... don't. You may need them later. Once you unlock Fast Leveling, you can grab ALL THE PERKS.
Alchemist 1-5, Physician, Benefactor.
Overdraw 1-5, Critical Shot 1-3, Eagle Eye, Steady Hand 1-2, Power Shot, Hunter's Discipline, Ranger, Quick Shot, Bullseye.
Enchanter 1-5, Fire Enchanter, Insightful Enchanter, Corpus Enchanter, Extra Effect.
Agile Defender 1, Custom Fit, Matching Set, Unhindered, Deft Movement.
Steel Smithing, Elven Smithing, Advanced Armors, Arcane Blacksmith, Glass Smithing, Dragon Armor.
Stealth 1-5, Backstab, Deadly Aim, Muffled Movement, Light Foot, Silent Roll, Silence, Shadow Warrior.
Haggling 1, Allure, Merchant.
Light armor is best.
Light armor is best, though late in the game there will be little to no difference.
Heavy armor looks a lot better on paper and provides slightly better protection early on, but light armor weighs less, lets you run faster, and lets you sprint longer. Half of Skyrim is walking. Both the Heavy and Light Armor skills offer a perk that negates the movement penalties, but those are a long way off.
Your protection maxes out at 567 displayed armor. You can reach this threshold with light armor just fine, even with glass armor. Moreover, every piece of armor your wear secretly adds 25 armor that the game doesn't display, making the difference between light and heavy armor much smaller than it appears.
Pick whichever one helps with Archery.
Almost at the start of the game, between Helgen and Riverwood, you will find a trio of standing stones (the Guardian Stones): Mage, Thief, and Warrior. Throughout Skyrim you will find other stones.
You will learn Enchanting faster.
You will learn Alchemy, Archery, Light Armor, and Sneak faster.
You will learn Smithing faster.
Archery is both your most important skill and the hardest to learn. As such, you should pick the stone that helps you learn Archery.
Archery is governed by the Thief Stone. This is presumably an error, and as such the Unofficial Skyrim Patch has placed it under the Warrior Stone.
Faendal in Riverwood
Followers are self-repairing meat shields. They even carry things for you.
Get whichever you like, it doesn't really matter who, but get one.
Sven or Faendal in Riverwood present the earliest opportunity.
Jenassa in the Drunken Huntsman in Whiterun costs 500 gold, but not only is she a stone-cold killer, you don't have to scroll through dialogue options to trade with her.
Watch for friendly fire. Only you can kill followers. Save often.
White Ridge Barrow, beneath Mortrag Peak
This book gives +10% to ALL THE THINGS!
You'll need some light--preferably the Candlelight spell, but you can grab a torch off the wall once you're there. Also bring a bunch of healing potions if you're not the type to run from a fight.
Go to White Ridge Barrow, on the south slope of Mortrag Peak, Solstheim's tallest mountain, all the way to the north by the coast, at the source of the river that empties into the western sea. Follow the mountain passes northeast from Raven Rock or follow the path west from Skaal Village.
Fight your way through the barrow until you reach White Ridge Sanctum. The sanctum has a spiderbot factory theme, and the Black Book is tucked away by the word wall in the south corner like it's not the greatest treasure in all of Solstheim, but don't let that fool you. The book is guarded by a rather lethal Dragon Priest. If he's too much, you can just grab the book and make a run for it.
When you read the book, you will be drawn into Apocrypha, the realm of Hermaeus Mora, the Daedric prince of knowledge. In this particular corner of Apocrypha, you need light to keep the darkness from slowly killing you, which is where the Candlelight spell comes in. Make your way to the end and claim your prize.
While you are on Solstheim, you can re-read the book anytime to switch boons.
Archery and Smithing are 10% stronger.
(You should have this on whenever you're not brewing potions or enchanting.)
Alchemy, Light Armor, and Sneak are 10% stronger.
As a hidden bonus feature, enchantments are 10% stronger.
The vessel to the left of the open book can be used as temporary storage, since you can access it by reading the book anywhere on Solstheim. Just keep in mind that its contents may reset if you don't visit for a week.