Greywolf1: My first playthrough was with a Spellsword from Highrock. In addition, I re-rolled stats a couple of times, until they were decently high. If I remember correctly, I left the starter dungeon on level 3. For more information, I recommend uesp.net.
Have fun!

But how did you manage to offend the guards "for just interacting with NPC's"? Did you try to pick-pocket, or to steal something in a shop? I admit it has never happened to me. :-)

dtgreene: I suggest choosing a spellcasting class that is at least decent at fighting. Warmage, Healer, Nightblade, and Bard are all decent choices. (I happen to really like Nightblade here.) This gets you a chance to get through the starter dungeon (before you get access to town), and it also allows you to experience the Spellmaker, which is the first of many such customization features that would appear throughout the series (although, sadly, the Spellmaker is nowhere to be found in Skyrim).

Once you've experienced that, you might try to branch out into other classes. Knight is a fun one; no magic, but weapons and armor are slightly repaired every midnight, allowing you to use those with attached spells freely. (This repair always happens, whether you're in the middle of combat when midnight strikes or you're fast traveling from one side of Tamriel to the other.) Sorcerer is another one; start with no MP and don't recover it when resting, but innate spell absorption and more MP than any other class, allowing eventual use of powerful spells. (The Sorcerer's mechanic is another staple of the series, though starting in Morrowind ity became associated with the Atronach birthsign.)

Aside from this, the biggest tip I can give is that you're going to want a source of spell absorption or reflection later in the game, as otherwise enemies will kill you quickly with spells. (Either that, or you make a custom Sield spell that can block the next 1000+ points of damage that you receive.)

dtgreene: Forgot that class, but that's another decent first choice. Decent fighting ability, and the ability to cast spells.dtgreene: In Arena, class is more important that race. Race has some effects (though note that the Breton race's special ability isn't as good as it sounds, as it won't protect against elemental spells, which are nearly all the spells you'll be exposed to), but class is far more important. (This isn't like later in the series where class can be irrelevant in the long term as anyone can learn any skill; in Arena, you can't learn skills out of class (there's no skill system in the first place).)

Also, guards do not follow you between zones, so entering or leaving a building, or leaving town, will cause them to disappear, and there's no karma or reputation stat in this game.

By the way, if at all possible, try not to leave the starter dungeon during the night. The game is extremely unhelpful to players who do so, as you're thrown into a town, but there's enemies around, nobody to tell you where to go, and the game annoyingly doesn't allow you to sleep in town the way you can sleep in wilderness or dungeons. (I find it annoying when a game uses the "can rest anywhere except in town" rule; games should either allow resting anywhere (including town) or limit resting to specific spots (and each town should have one).)