Rogues should focus on the following attributes, in order of importance: Dexterity, Cunning, Willpower, Constitution, Strength and Magic.
The most important attribute for a rogue is dexterity. Not only does it help to increase your defensive ability, but it also helps determine your attack score for making a successful hit. If you are using a ranged weapon like a bow, dexterity is the only attribute which contributes to your attack score. Higher dexterity scores also increase the damage done by weapons like daggers, which is mainly what your rogue should carry. Strength should also be given a few points to help with your rogue’s damage and attack scores in case you use other weapons, but when using daggers you should have more points in dexterity than in strength.
Rogues should definitely put a few points in the cunning attribute because that will help them improve some of the rogue talents as well as increase armor penetration. It wouldn’t hurt to invest a point or two in willpower because it affects how much mana or stamina you have, and once your rogue gains higher levels you will use this to do special attacks. Some points in constitution will give your rogue more hit points, but that’s all. With a rogue, there’s really no reason to put any points in magic because you’ll get much more benefit from investing in other attributes.