I always max out Strenth and Dexterity on my Rogues first. Mainly because I use my rogues as tanks. Then I go for speed and senses. I think which stats to max out first depends on your party make up and what roll you expect your rogue to play in your party. If he/she is going to be one of your tanks then I'd say max Strength and Dex first. If he/she is mainly going to deal with locks/traps and do the pickpocketing I'd go for dex/speed/senses first. From what I understand, a rogue has a better chance of successfully pickpocketing if their dex/speed and senses are high.
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