There is a lot of powerful equipment in the module available early. Pretty much anything any class can do can be emulated, improved and/or overshadowed by potions, scrolls or wearables, especially on early levels. On the other hand, you will be stripped of your equipment (usually temporary) with notorious regularity, so it is good to have some backup abilities of your own (or of your familiar).
There are lots of skill checks in game, and a lot of real high ones, so skills are important.
Pick Lock, Disable Device, Search will be used especially often, as there is a massive amount of locks and traps in game. They can be emulated with Knock and Detect Traps spells to some extent.
Hide and Move Silently are also essential, but not as much. You can easily get more than enough bonuses to this skill from equipment, so you don't need many ranks, except for Shadow Dancer prestige or quite regular "stripped out of gear by script" moments. Also can be usually replaced with invisibility spell, scroll, potion or magic item.
Persuade and Bluff are used regularly, but you usually can choose to use only one of them. Intimidation is much less common.
Use Magic Device - useful. Extremely useful if you don't have wizard or sorcerer levels, to use scrolls and caster-exclusive equipment. Note that DC is dependent on item's price, so you will not be able to use some really good class-specific stuff until you get to high levels. A few ranks in UMD can be worth it for access to the AC dodge bonus from the monk-locked Boots of the Sun Soul alone.
Craft Traps and Set Trap - very helpful if you are low on other high-damaging options, i.e. not a spell caster. If you play as a rogue, then it's nearly a must, because there are lots of combat encounters where enemy are either immune to criticals, hard to hit or can see through darkness/invisibility.
All other skills are less important, but some can make life a lot easier. Appraise - really makes difference when you sell and buy things, Tumble - really useful in fights because of AC bonus, Concentration - a must for casters, Heal - first aid packets are cheap and can be used while sneaking or on other people.
Mostly useless skill - Lore (just drink a potion).
Not sure about craft armor and craft weapon. You can buy crafting materials in module, so you can probably hack up something useful, but it's probably just easier to buy it. Same for Scribe scrolls and Craft wand - shops have a good selection and is probably cheaper.
Int is the main skill, as it grants extra skill points and give bonus to some skill. 14+
Dex 14+ is mandatory. More is good, as it give bonuses to skills, to hit (with ranged or Weapon Finesse) and to AC.
Cha 14+ is mandatory. More only if you play Sorcerer or other Cha-casting class.
Wis is mostly useless, unless for Clerics, but there are some checks for it in game. Dump stat.
Str and Con - you are not supposed to melee a lot early in game, but fighting gets increasingly more common to the end of Part 1 and through the Part 2. Which means that Str can be handy - but you can also increase it with spells and gears.Also, you will often have to lug a lot of loot around, but Bags of Holding are cheap. Con gives HP, which is always good, but there is a lot of ways to raise you defences with gear, and healing points are relatively cheap. So, I'd say it's less useful than Strength.
Invest remaining points in Int or your casting stat.
Rogue - gives tons of skill points if taken at level 1. Afterwards can be dipped occasionally to spend points on class skills, as you can hoard skill points in NWN. Good time to take Rogue levels are 1 and 6 character level - to maximise skill points and to get enough Hide skill to qualify as a Shadowdancer. Having rogues as a primary class gives a really painful backstab and lots of skill points, and is also more true to the spirit of module than anything else.
If you don't have at least 1 level in rogue, you also will not be able to manually disarm traps with a DC over 35.
Wizard and Sorcerer provide familiars and lots of spells, some of which can augment or replace rogue skills. Even just one caster level is useful to gain access to scrolls, familiars and many very good caster-only clothes.
Pixie familiar have great lock picking and trap disarming skills, which helps a lot when you make first steps in the game. Pixie is also having some damage reduction, which makes here quite durable.
Panther familiar, on the other hand, have really nice backstab, but is somewhat fragile, so you will have to tank for it or otherwise invest in keeping it alive.
Wizards are generally preferable to Sorcerer, because Int is way more useful skill than Cha. Also, Wizards get new spell level earlier, which can be especially notable when you multiclass. On the other hand, there are few sleeping spots in game, so it will be hard to re-memorize spells, which makes Sorcerer's flexibility more attractive. And don't forget that there are scrolls and rods (and potions, and clothes with spell abilities...) just in case you don't have the right spell prepared, or in case of Sorcerer, known.
Clerics - more combat oriented than Wizard. While you can mostly avoid fighting early in game, as time pass by mandatory fights will be more and more common and hard. Advantage of priests in this module is that buffs that are supposed to last for hours, do last for hours, instead of 1/30 of that as in OC. On the other hand, having buffs with duration measured in turns always on, like it's usual in OC, is hardly possible, because you can't rest often.
Some cleric domains are quite handy, and can even improve your thievering ability. Trickery, in particular, allows having skills values, probably unattainable otherwise at same levels, even if only temporary, and grants ever-useful invisibility spells. Knowledge unlocks Knock spell, but that's pretty much it. Animal improves summons, which are a great help in fights and last a long time, and gives you the Dex buff spell. You can see a full list of domains here http://nwn.wikia.com/wiki/Domain
Additional incentive to use Cleric is that you'll have to have at least 14 Cha anyway, and this stat improves many Cleric's spells and abilities.
Druids are even further on combat/utility scale than Cleric. Druids don't get domains, but get an animal companion instead, which can significantly increase their damage output.
Monks are a very interesting one-level dip for divine casters. It adds Wis bonus to AC and grants Flurry of Blows, beside other things, which improves your defensive and offensive capabilities significantly. It will limit your gear options greatly, though. Fortunately, Betancuria shops have a good selection of monk clothes and weapons.
Bard - Highly playable. Slower spellcasting progression than the full caster classes, but has a list of class skills second only to Rogue and good skill points per level, plus 3/4 base attack progression like Cleric/Druid. Spellcasting is Charisma-based, so great synergy with the module's stat requirements.
The Bard spell list has lots of long-lasting low-level buffs (e.g. Mage Armor, Bull's Strength, Cat's Grace, Greater Magic Weapon) that are useful daily with NWN's generous bonus stacking and extra-handy when you lose your gear. Also provides access to Invisibility, Improved Invisibility, and Find Traps, though not Knock. It gets several spells that leave people vulnerable to sneak attack, though since you'll likely wear armor, arcane spell failure is a factor when casting in combat.
Bard Song and Curse Song can stack fights in your favor (and the former eventually helps with skill checks), but you'll need to spend some of your precious skillpoints on Perform. If you'll have Pia in the party, keep in mind that if a character is already under the effects of a Bard Song, a superior Bard Song will have no effect. Pia doesn't seem to use her Curse Song, so you can debuff even if she's already singing.
If figuring out how to balance with Rogue levels, keep an eye on the Bard Song table in addition to spell progression.
Of prestige classes, Shadow Dancer is extremely popular as a dip, for its Hide in Plain Sight feat on level one. It can be emulated with Darkness, though - cast from spell book, potion or certain clothes.
PRC Classes - A Dance with rogues can be played in conjunction with the Player Resource Consortium(PRC), which implements a large number of extra classes, spells, feats and other content from D&D 3.5 into Neverwinter Nights. Base classes such as Beguiler, Psychic Rogue and Ninja give many of the skills and class features of a standard Rogue while offering completely different play styles, while the dozens of prestige classes offer significant customisation. The PRC also makes it possible for the Princess to gain racial templates, or even become a Lich. The latest version of the PRC can be found at The Neverwinter Vault.
(Note: due to way item strip scripts are implemented in Chapter 2, some PRC classes may temporarily loose many abilities during sequences where the Princess' inventory is taken from her. Resting may resolve this issue for some classes, while leveling up will return any missing feats.)
- Neverwinter Nights A Dance with Rogues Guild: Your favourite Dancer (registration required)