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The Rogue is a nimble melee fighter relying on daggers, traps and stealth to defeat its enemies, while dodging or avoiding enemy attacks.
Rogues start with the ability to use ranged weapons, and start with sling and ammo in their alternate weapon slot. Rogues can be quite deadly with a sling (due to their Dexterity and Cunning), and they can even use an off-hand dagger alongside the sling, so they retain their Dual Weapon Defense bonus as well as apply their poisons while shooting.
However, your primary offense will most likely be your daggers. These are a bit underwhelming at the start of the game, but once you find (or purchase) some better daggers, as well as boosting your Dex and Cun, you'll quickly develop into a stabbing machine.
Flurry hits 6 times (3 with each dagger), and is your best single-target killing talent. Whirlwind hits up to 3 adjacent targets and causes bleeding (damage over time); it can be quite effective if you plan to retreat and let your foes bleed out.
Stealth and traps, however, are what make the class interesting. Stealth can be set for automatic use (strongly recommended), meaning it will typically trigger as soon as you're out of sight of all monsters. While in stealth mode, your light radius is reduced to 0, so you want some infravision or Heightened Senses to compensate. Stealth is almost as good as invisibility -- monsters may not even know you're there, or if they do spot you, they may mistake your exact position, and waste their talents on empty space. With Shadowstrike you can also get huge damage bonuses when striking from stealth. See Stealth_(Gameplay) for a more in depth information on stealth.
You can learn to poison your daggers by siding with the assassin lord in the Lost Merchant quest. This will boost your damage even further. (Actually, you only have to do that with your first Rogue character. After that, every other Rogue will have the tree unlocked, and your optimal strategy is to kill the assassin lord for his gear and for the merchant's store.) (Unless you want the Tricks of the Trade Prodigy.)
Speaking of Prodigies, Giant Leap is quite awesome for Rogues. You get mobility combined with a devastating multiple-opponent attack. Another very good Prodigy for a rogue is Mystical Cunning, despite being in the Magic tree - if you find a high +Magic stat artifact on another character and have access to the Vault, consider sending it over to a new Rogue and giving it a shot. The Gravitic Trap this prodigy unlocks is one of the most powerful abilities in the game.
Defensively, you can become nearly untouchable by physical attacks due to your Defense score (from Dexterity, from Dual Weapon Defense, and from equipment bonuses). Your bane will be nonphysical attacks (dragon breaths, spells, etc.). You get no talents to help against those (other than Thick Skin of course), so look for equipment with saves, stun/confusion immunity, and elemental resistance.
Antimagic may be worth considering, although it will reduce your mobility (you won't be able to rely on teleport/phase door for escapes).