As with a lot of things LARP, what's going to be "the best" is going to vary a lot based on personal preferences. When you're first starting out you don't have a lot of build, but you gain build pretty quickly so there's some room to experiment a little bit.
First and foremost, pick a race you're going to be able to comfortably costume every event for hours at a time without a break; High Orcs and High Ogres tend to be difficult for people because the required tusks can be bothersome to wear, and any race that requires you to make your skin all one colour (Dark Elves and Stone Elves, for instance) can get bothersome to apply and remove every game. If the benefits the race provides outweigh the costuming drawbacks to you, then that's the race you should play. (Also give a good read on your chapter's race packet, since the races differ some from chapter to chapter; a race that looks great to you in the rulebook might have local customs that you're annoyed by.)
Any kind of Elf (except Mystic Wood Elf) tends to make a decent Rogue, as they only pay half the usual build for Archery; if you don't want to go the Archery route, Saar (Racial Assassinate and Claws) or Hobling (Racial Dodge and half cost for Legerdemain) might not be a bad idea if you don't mind the weapon skill limitations. You could also go Wylderkin and pick two Racial Skills (within reason), for potentially about the same costuming requirements as a Saar. (The rest of the races are more or less just as good at being a Rogue as each other, as far as Racial Skills go, but you might find the extra Body Points provided by some races appealing.)
As far as initial build goes, that's sort of dependent on what you want to do; as a general rule, doing one thing really well and a few things somewhat decently is better in the long run than doing everything poorly, so planning ahead with your build will be a good idea.
A weapon skill is the best place to start, and for a Rogue you have a couple of decent options: taking Archery coupled with Small Weapon (8 build) is a good idea if you want to do more ranged combat, since Small Weapon is cheap and gives you a backup option if you're forced into close-ranged combat until you can create some distance (or if you run out of arrows); One-Handed Edged or Blunt (5/4 build, respectively) is a good choice if you want to be more up-close-and-personal, as they do more damage and the extra length can really help your blocking ability. I don't recommend taking Florentine to start, since 6 build is easily saved up after just a few events early on and (in our chapter at least) it's fairly easy to find someone to train you in it.
Next you'll want to consider taking a Back Attack (or two) to start working towards a Backstab; with Archery/Small Weapon, you can snag 2 Back Attacks (6 build) and have 1 build left over, with One-Handed Edged or Blunt you could take 3 or 4 and have 1 or 2 build left. That's not a lot left over in either case, but it's still good for a rank of Teacher, or if you have 2 build, a rank of Craftsman is always helpful. If you go the One-Handed Edged or Blunt route, you could also go for Read and Write (6 build) and one Back Attack.
I really don't recommend going for Alchemy right off the bat, as it's a 12 build investment just for 1 rank after all the prerequisites; better to save your build early and invest into it later. Even if you want to specialise in it, your options with only 2 ranks are fairly limited, and even if you get 3 ranks early you might not have the coin to buy or make enough gas globes to last a whole event.
I... Also play an Artisan, so take all this advice with at least a few grains of salt. But the above advice will get you a fairly solid starting point to leap from, and doing some reading on the forums or asking in the OOG forum of the chapter you'd like to play in might net more helpful advice.
One other thing to consider is that you can learn as many skills as you want (and have time for) per event, and you don't have to spend any build on them until you're ready; you can learn Floretine and Two Weapons your first event and just sit on them until you're ready to invest build on them, or get started towards Alchemy by picking up Read and Write and Herbal Lore. (Skills with no build spent on them will be rank 0 on your character sheet, so you can tell fairly easily what skills you've actually spent build on.)
To launch to a different topic, Craftsman is the only skill you don't have to be taught, and it provides 1 Silver per logistics period; depending on the amount of treasure your chapter can give out and how much of it you can get your hands on, a few ranks in it can go a long way to keeping yourself out of the proverbial poorhouse. You do have to pick an actual thing to be a craftsman in, such as Potter or Cobbler, so pick something that makes sense for your character. Our chapter has an absolutely massive list of Craftsman choices, from Innkeeper to Erotic Massage to Greater Undead Lore.