So, how do you think I should go about building a rogue/shadowdancer 1/ranger?
Looking at the requirements, I'd be able to get Tumble 5 with second level of rogue, and ranger has both Hide and Move Silently as class skills. So something like that: Rogue two levels (or up to four I guess, to get better skills), ranger the levels necessary to get Hide and Move Silently to 10 and 8 respectively (so Ranger level up to 5/character level 7 I think, if I'd have enough skill points), then one level of Shadow Dancer, and the rest (until 20) of a Ranger?

Also about UMD, quoting the Wiki: "A UMD score of 25 or higher allows full usage of the standard holy avenger item." - so UMD 25-30 should let me wear anything I might fancy, except for some crazy expensive things?

Also do you think I should (eventually, not at the start) put some points in Strength to get it to 13 (or 14 for +2 modifier), for Feats like Cleave and Imp. Cleave?

Depends on what you want out of the character.

Ranger gets you BAB, Hitpoints and more/better bonuses against favoured enemies.

Rogue gets you sneak attack damage, skillpoints and Rogue Bonus Feats. (Which incidentally are useful but not amazing.)

The only certainty is that your first level should be rogue (1st level gives quadruple skillpoints, you want 4*8 skillpoints.) and the second Ranger.

Beyond that? Up to you.

Rogue 4/Shadowdancer 1/Ranger 15 gets you 4 favoured enemies, improved two weapon fighting, a lot of hitpoints, and 18 BAB, but only 2D6 Sneak Attack and 122 skillpoints. (+ INT bonus, which should be 69 skillpoints at level 20 if you're human.) It works, but this little sneak attack damage makes it a bit redundant to go for Shadowdancer. For a character like this I'd drop Shadowdancer altogether and just play as a ranger with rogue skills.

Your original idea of Rogue 10/Shadowdancer 1/Ranger 9 gets you only 2 favoured enemies, less hitpoints, and 16 BAB, but still gives you improved two weapon fighting, as well as a rogue bonus feat, 5D6 sneak attack damage, and 24 extra skillpoints. And as soon as you hit epic levels you can take a Ranger level, get a 3rd favoured enemy and pick Bane of Enemies. Pretty good balance, really.

So I'd actually stick to your original plan. Or maybe stick to 8 rogue levels for slightly better BAB, but giving up the rogue bonus feat for the time being.

One thing to keep in mind, though, is that you can save up skillpoints and invest them whenever you take a rogue level. This means it's a good idea to space out the rogue levels a bit. If you take your last (pre-epic) Rogue level at level 17, for example, you can raise Tumble and UMD to 20, which gives you +4 armour class. This also lets you keep lock and trap disarming skills relevant, if you choose to take those. (They're not terribly important in most modules.)

Yes, but you'll only reach those values by the very end of Hordes of the Underdark or other epic-level campaigns, so what that basically means is "put as many skillpoints in it as you can if you really want to be able to use everything."

Which should be fine on a rogue build, since they have a lot of skillpoints. Bards can compensate a bit because they usually have high CHA.

Your choice is between STR based and DEX based with weapon finesse. Both are viable. DEX based will get you higher armour class, particularly at very high levels, and good accuracy with a bow. STR based will let you deal more damage, particularly against critical-hit (and therefore sneak attack) immune enemies, of which there are many and which only become more common as you go up in levels. (Undead, Elementals, Dragons, Constructs, etc, etc.)

STR based also lets you use bigger weapons, in your main hand at least. Which not only lets you do more damage, but also lets you use all magic weapons you find. For example, if you have high UMD and find a Holy Avenger, you can use that if you're a STR build. A DEX build wouldn't hit much with it. Or you could even equip a two-handed greatsword when fighting some foe with hefty damage reduction. Oh, and STR based saves you a feat since you don't need Weapon Finesse.

Either variant works. I'm partial to the STR based one, because I like doing more damage and being more flexible RE weapons, but that's really just a personal preference.

Whichever you choose, it's a good idea to start with both stats at least at 14. The STR build still needs DEX for his bow and to boost AC, (since you won't have better than studded leather armour, or maybe a chain shirt if you don't care about dual wielding) not to mention you need 13 anyway to get the Dodge feat for Shadowdancer, and the DEX build still wants the extra damage and carrying capacity. Your 30 stat points easily lets you raise STR, DEX, CON and INT to 14, which would leave you 6 points to distribute between WIS (for ranger spells, though they kinda suck) and CHA. (For RP purposes, mostly. Although it does help UMD.) Or you could leave on or both of those stats at 8 and sink more in your favoured stats.

Power Attack/Cleave/Great Cleave aren't particularly useful, though. Normal cleave is buggy when you have 4 or more attacks per round. (Which a dual wielder always has.) Great Cleave means you're spending a lot of feats for marginal benefits. And in the end: you're a Shadowdancer. You hit and RUN. You don't need to hack your way through 100 goblins in 2 rounds.

Stuff like Weapon Finesse (if DEX based), Blind Fight, Knockdown, Weapon Focus, Improved Critical, etc. is more important. Not to mention you need feats for Shadowdancer.

I'm thinking about doing that now (seeing as I only wanted rogue levels for skills), how viable would be a character like that (so Rogue 4/Ranger 16, with Rogue levels spaced out to get the skills to better levels) at openly fighting things?
(wearing light armor for dual wielding, aside from tougher enemies, where I could go for heavier armor+one weapon+shield, and I suppose ignoring stealth-related skills for a while to put points elsewhere)

Also about favored enemies, any suggestions which to pick?

well you pick your favored enemies for 2 reasons. Foes that there are a lot of during the game, and later at higher levels, foes that are tougher than the normal foes you encounter.

1) Undead. There are always undead everywhere, your criticals/sneaks/etc don't work against them so a little extra always helps, and their level range can get up to very dangerous. Best choice i always say.

2) Humans. Lots of humans in the game, and even at higher levels they are hard, a good choice

3) Constructs. A good choice since they also are immune to criticals/sneaks, etc and extra damage is always good

4) Outsiders. Yes please, more damage to those evil planar buggers

5) Elementals maybe, also a foe that you need more damage since they also immune, but i'm not sure how many elementals are about so maybe something else.

Perfectly viable.

Rogue is an excellent class to "mix in" with others. The skills are helpful, and so is the sneak attack damage, even if you don't use stealth that much. (And in most modules stealth isn't really all that helpful since you can just walk in and kill everything and get more XP.) Be sure to take Knockdown (and maybe the improved version) because knocked-down enemies can be sneak attacked.

Besides what eolsunder said (all good advice) you should also consider what module you plan on playing.

If it's a Ravenloft module, undead will be even more important than usual. If it's called "against the cult of the reptile god" then reptilians sound a good idea. If it's set in the Underdark you may want to pick Elves (drow) and Aberrations. If the plot of the module is a giant Orc army attacking... well, you get the gist.

The only thing I don't really agree with Eolsunder on is 3) Constructs. Yes, they're tough, but it's generally pretty rare to be fighting them. My gut-feeling estimate says that they appear in maybe half of all modules I've played, and even then it's usually one or two playing bodyguard to mages. The only "construct dungeon" I can think of was in Hordes of the Underdark.

Instead I'd recommend Giants, as that category also includes Trolls, Ettins and Ogres, besides the obvious Hill, Fire and Frost giants, which combined tend to be a quite common foe type both at lower and higher levels. Hordes of the Underdark also includes lots of very annoying trolls to fight, for example.

My rogues almost always have either 4 Rouge Levels or 8 Rogue Levels Pre epic. Probably more often 4 levels spread out. Especially likely if I am playing a Ranger.

On a Human Ranger/Rogue, I often keep wisdom lower (10 or 12) and aim for a 14 Int. Ranger + Human + 14 int = 7 skill points per level. Not bad for a fighter type character. This usually keeps me topped up in all my important skills.

That works, but it's important to realise it means you won't get access to all the Ranger spells.

Ignoring the ranger spells is a perfectly viable decision: you only get a handful, only to level 4 spells, and most of the ones you get really aren't all that useful. Greater Magic Fang helps your animal companion and Free Movement can be helpful, but getting one casting of Cure Moderate Wounds or Aid when you're around level 15 (because of multiclassing, otherwise you'd get it around level 12) is... underwhelming, to say the least. Using UMD and scrolls is a much better bet, if more expensive.

Still, if you do want the spells you need a natural wisdom of 14.

Of course, but as you noted, they mostly aren't that good.

Rogue, with UMD = Scrolls, Wands and more. Often better than weak Ranger spells. Plus the game usually has abundant potions, etc...

12 Wisdom is a fair compromise. It gets you Cat's Grace and a couple stealth boosters.

But really I usually just skip them altogether, and prefer the extra skill points.

Talking of skill points, how important for the Blind Fight feat is the Listen skill, should I put points into it, and if so, how many, or is it okay to just ignore it and put them elsewhere?

There is no connection between Blind Fight and Listen skill.

I seldom get Listen/Spot, there are simply better skills to spend the points on, and enemy stealth is fairly rare.

Whilst this is true mechanically, there ARE more RP oriented modules where you make listen/spot checks, i.e. to eavesdrop on people or to notice an ambush.

Generally not a huge deal, but if you're playing that kind of module it's worth sinking a few skillpoints in these skills.

Is the Wiki wrong then? Quote "This feat prevents one from losing AC (due to being caught flat-footed) when attacked by a hidden melee attacker, provided the attacker is heard. (If the attacker is spotted, the defender can avoid being flat-footed without this feat.) " ("heard" links to the "Listen" skill's page)

The wiki page is true IF the enemy is in stealth mode. But enemies almost never are.

If the enemy is not in stealth mode but you are unable to see them for some other reason (a darkness spell, the enemy is invisible, you've been blinded by something) you pass the listen check automatically, so no need to take the skill.

I can count the number of modules with enemies actually using stealth on the fingers of 1 hand. I can make do with less if I discount rogue-only modules like "Honour among Thieves."

Even better: if you have at least 3 rogue levels, you get the Uncanny Dodge feat that will let you keep your DEX bonus to AC even if you are flat-footed, making this aspect of the Blind Fight feat even more irrelevant than it already is.

You still need Blind Fight, though, to mitigate the hit-chance penalty of fighting someone invisible (which applies to many mages) or concealed (which includes various monsters like Shadows) or in a magical Darkness effect. (Mages, again)

Ok, slight connection. There is a big list of things Blind Fight does. That is fairly inconsequential effect.

Blind Fight is a very good feat, with high or zero listen.