Do you want to be a pure wizard (no weapons at all) or more of a hybrid-type like a battle-mage (uses magic and weapons). Both are pretty fun, but the former is more difficult. If you do go pure wizard I have a few recomendations for skills you're going to want.
Alchemy: Potions are increadibly powerful if used right.
Conjuration: If you arn't going to fight, summon things to fight for you.
In addition you'll probably want myticism for teleport and soul-trap and alteration for levitate and waterwalk. Destruction really isn't that important, as you should be able to summon things to smite your foes for most of the game.
The other important thing is to make sure you pick a magic-friendly race and sign, in particular this means you need to get as much of an intelligene multiplier on your magicka score as you can. I generally go for a Breton w/ the Antroch sign.
Also, make sure you make full use of enchanted items.
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