For me, my first playthrough will be about exploration, trying to find as much out about the world and the stories in it as possible, and just trying random things out and seeing if they work - and not reloading if they don't short of TPK. Though this is mainly driven by what I most want to do in my first playthrough as a gamer, I will choose a character for whom that will be a natural fit for roleplaying. I'm still dithering between a few at the moment.
Once I have a grasp on what's there and therefore what goals/themes have the most potential then I'm sure I will do a number of other runs with other characters who are best suited to exploring them, but I don't feel I can craft those properly without a first sort-of trial run.