A posting from a guy on the Straight Dope boards about builds:
Finn's Fundamental Findings:
Start with 10 points in intelligence. The extra skill points really come in handy. Take a point off of strength, charisma, luck and endurance. Put them all into agility. You can find an agility bobblehead to get you to 10, and that should be one of the very first things you do.
Tag small guns, lockpick and speech , repair or science. I prefer speech.
Personally, I like to level up lockpick to 90 and get its bobblehead asap. After that, small guns and then repair. Science can be put to about 50 and you won't miss much. I haven't found anything that needed higher than 75, and even those computers are very rare. Lockpick is much, much, much more useful in most cases, IMHO. But you should always hack computers, just for the extra HP. Having a high repair skill (or at least a moderate one) allows you to make caps hand over first in the beginning as you can take Rader style crappy armor and repair it until it's worth quite a bit. I actually encountered a 'cap bottleneck' at the beginning of the game as all the merchants ran out of caps before I ran out of loot to sell to them.
Once you hit level 12 or so, you can start putting points into energy weapons. I wouldn't waste them on big guns. Sneak is okay, but not a priority. Medicine is nice. Explosives should be put to about 35 and then ignored.
The perks you should get: you should bring perception up to 9 (10 with bobblehead) for your eventual use of energy weapons, and bring luck and endurance back up to five. Maybe endurance to six. Sniper, commando and action boy are all required. Bloody mess is fun and the extra 5% damage can mean the difference between killing a foe and almost killing him. Toughness is nice, but not essential and if you're going to be relying all that much on it in the first place, you're probably already dead. You should also take the perk that gives you extra skill points to spend each level (I forget its name). Lawbringer is a nice perk to give your character some flavor and earn some extra caps, but it's a luxury, not a necessity. Obviously take the grim reaper perk without a second thought. Finesse seems to make up for having your luck at only 5. Cyborg is a nifty enough perk. Strong back is great if you're going to be lugging lots of stuff around. I've never taken the better criticals perk, but it might be worth it if you find yourself getting enough critical hits in combat.
Hrm, what else... make sure you store extra copies of weapons in your house so you can easily repair the ones you use. Also make it a habit to collect and store junk. When you start getting schematics, you'll need all those paint guns, surgical tubes, motorcycle gas tanks, etc... At the very least, check out what you might like to build and make sure you get lots of its components as you go along.
Make finding bobbleheads one of your very first goals, before almost anything else. At least in a few key skills.
Um... oh, and, when you get the Nuka Cola Clear forumla and trade it to the hockey player guy, kill him right afterward. His mask gives you something like 20 or 25 extra action points.