Step 1: Decide what kind of rogue you want to play. Do you want to be a ninja/assassin and sneak into places, kill things and leave? Do you want to be a cat burglar who can climb a wall, walk across a tightrope, open a lock, and then escape? Do you want to be a face man who can talk his way into the king's treasure chamber?
Step 2: Decide what supplements are available and who else is in your party.
The really important questions are: are you using Complete Adventurer or not? And do you have access to grave strike and (to a lesser degree) golem strike?
Step 3: Decide how you want to contribute in combat? Do you want to do the classic rogue tumble/spring attack for a sneak attack and get the heck out of dodge? Do you want to unload a flurry of sneak attacks with two weapon fighting? Would you rather leave sneak attacking to the losers who get hosed when they're fighting undead and pick up weapon specialization and/or rage instead?
The combination of these should determine how you want to create your rogue.
Race: Darkvision helps a lot for dungeons since you can sneak more effectively without a light source. Low-light vision is pretty nifty for outdoors since it has no range limitation and will usually give you full visibility.
Dwarf: Pro: good con, darkvision, save bonus, stonecunning gives an automatic search for traps made of stone. Con: low speed. Favored class fighter only allows fighter/rogue combo.
Halfling: Pro: save bonus, darkvision (deep halfling) or low light vision (tallfellow), secret door sense (tallfellow), dex bonus, multiple skill bonuses; Con: low speed, small size. Favored class rogue allows all multiclass combos.
Gnome: Halfway between a dwarf and a halfing--all the disadvantages of both without the halfling's skill bonus or the dwarf's save bonuses and without stonecunning or darkvision.
Elf: Low con makes elf a risky choice, but the dex bonus is helpful. Low-light vision and secret door sense round out the package. Favored class: wizard means that you can only multiclass rogue/wizard effectively.
Half-elf: Not a power-gamer race unless you're trying to max diplomacy or pick up an elf-only prestige class without taking a con penalty. Pick elf or human.
Human: not having darkvision or low-light vision is a pain, but the bonus skills and feat can be very helpful. Favored class any allows all multiclass combos.
Class combos: The more you multiclass, the fewer skill roles you'll be able to play. Still, multiclassing can help you maintain your effectiveness in situations where you'd otherwise be shut down.
Fighter/rogue: A good archer or melee combination. This works well with two weapon fighting rogues or archers (as long as your strength is high enough to deal good damage without sneak attack).
Barbarian/rogue: Also a good combo. The speed boost helps keep you mobile and quicker uncanny dodge progression is nice. Picking up a two-handed weapon and raging during combat means you're harder to shut down (undead? well then you'll only take 2d6+10 instead of 2d6+10+3d6--not oh, undead, well take 1d6+1 instead of 1d6+1+4d6 like a normal rogue).
Paladin/rogue: Hope you're heading for Shadowbane Inquisitor because otherwise this combo doesn't go too far.
Ranger/rogue: Pick up some nice wilderness skills and rapid shot or two weapon fighting as well as favored enemy. If you take too much ranger, you'll kill your sneak attack progression though.
Cleric/rogue: Hope you're headed for Shadowbane Stalker because otherwise this combo doesn't work too well.
Rogue/wizard or rogue/sorcerer: If you want lots of magic, you should go for arcane trickster. That's a role in itself. However, a rogue can get a lot out of just 2 or 4 levels of sorcerer. Golem strike will let you sneak attack constructs. Swift expeditious retreat will help you get out of trouble. Distract assailant can provide some nice sneak attacks. Insightful feint can make Improved Feint work better for you. Wracking touch can give sneak attacks you'd otherwise not get, and chill touch can give you an easy way to land sneak attacks against otherwise difficult targets. (Especially with practiced spellcaster).
Feats:
Good feats:
Improved Initiative=get the drop on your enemies and get an extra sneak attack in on the first round without flanking...if you're in range and your enemy is sneak attackable.
Two Weapon Fighting/improved/greater two weapon fighting: If you want to commit the feats to it, you can be an unholy terror sneak attacking six or seven times in one round. The downside: you have to spend a lot of time in full attack range of your enemies. If you go this route and use weapon finesse, the most effective way is to use a light weapon (rapier, shortsword, handaxe, or dagger) and armor spikes while holding a shield in your off hand. (Heavy darkwood shield and masterwork bucklers both have no armor check penalty and thus no non-proficiency penalty).
Weapon finesse: If you're doing your damage through sneak attack and have a high dex for your skills, this one's for you.
Power Attack: It's the premiere fighter feat; if you're a rogue who bucks the trend and goes for a two handed weapon (or even a non-finessable one-handed weapon), you should take this feat.
Dodge/Mobility/Spring Attack/(Elusive Target): These are great feats for any melee rogue. They enable you to make your attack and get out of harm's way. Elusive target ensures that you can cause some havoc as you escape harm's way too and it keeps the power attack monkeys from killing you immediately.
Rapid Shot/Point Blank Shot/Etc: Don't touch these unless you've got something other than sneak attack to give you damage. Getting sneak attack with a ranged weapon is tremendously difficult after the first round. (Blinding or stunning your enemies is the best way to do it--glitterdust, blindness, holy smite, sound burst, etc are good but you can't always count on them working; a ring of blinking also helps but that's only available at high levels and you can't count on seeing it).
Weapon Focus: Not really sexy, but it's not a bad feat.
Great Fortitude/Iron Will: pumping the typically weak saves of a rogue is good policy.
Staggering Strike: (Complete Adventurer)- Prevents enemies from making full attacks on you by staggering them with a sneak attack (Fort save=damage dealt--like anyone's going to make that). If your DM is silly enough to let it in his game, take it.
Skills: The basics that no rogue should be without are Search, Disable Device (take both skills until they're at least +24 which finds 9th level spell traps on a take 10), Tumble (take it until it's at least +14--+24 or higher for combat focussed rogues to auto-succeed at tumbling through an enemy's square), Spot and Listen. Open Locks is a skill you'll either want to max (DC 40 locks are remarkably cheap) or buy one rank of (with good thieves' tools and a good dex, you should be able to take 20 and open a cheap or average lock). Hide and Move Silently you'll want to get as much as you can afford, but after you get +14 or so, you could stop (if sneaking past 1st level guards is all that you think you need to do).
The social skills are another ball of wax. Bluff needs to be maxed (especially if you want to feint in combat). If not, 5 ranks gives good synergy. Sense motive needs to be maxed for the same reason (though 5 ranks gives some good synergy). Diplomacy and Intimidate are both useful maxed, and neither has an obvious non-maxed stopping point.
A note on opposed rolls: The key on opposed rolls for a rogue is that you're going to be making a lot of them. Consequently, it's not enough to win most of them. You need to win all of them. For instance, if you are sneaking into a guarded compound, you might need to climb silently over a wall, drop onto the other side, cross 20 feet to the main building, open the lock on the back door, and enter silently. If there's one guard who could, theoretically see you, you need to win at least 7 opposed rolls to do that. A hide and move silently when climbing, a hide and move silently crossing the courtyard, a hide while you open the lock, and a hide and move silently as you move inside. Let's say that you have an 80% chance of winning each one. You only have a 20% chance of winning all of them and making it inside.
So, how can you affect that? First, take ten whenever you can. Your bonus should be high enough that, when you're taking ten, your opponent will need to roll really high in order to beat you. If, for instance, have your opponent's bonus beat by 10 points, Rolling, you have an 86% chance of beating him. If, OTOH, you take ten, your opponent needs to roll a 20 in order to beat you. Now you have a 95% chance of beating him. If you beat your opponent's roll by eleven, you still have an 11.25% chance of losing an opposed roll. However, if you take ten, you will win every time. So, max your bonuses on opposed rolls and take ten whenever possible.
On Searching and Disabling traps:
Searching. When you reach that elusive +24 (or better) you'll be able to take ten and be confident that you'll find any traps. Until then, however, you'll have to roll. You can take twenty and be sure to get traps, but that only works when you're sure there's a trap or you have time to spare. You can't take 20 as you walk down a hallway. It would just take too long at 2 min/square. On the other hand, rolling leaves you a good chance of missing a trap and taking ten guarantees that you'll miss any really scary traps. A good compromise is to search each square two or three times. That way, you have a decent chance of finding a difficult trap but don't slow the party down nearly as much as you would by taking 20.
Disabling is a different kettle of fish. If you can get your DM to toss you a bone, try to get him to give you a rough estimate of how hard a trap would be to disarm. If you think you can take ten do it. (It may not work, but it's unlikely to set the trap off unless you fail by five or more--and if you fail by five or more, it's usually not a good gamble to be disabling it in the first place). Otherwise, you're going to need to buff up. Guidance from the cleric will net you +1. Heroism or greater heroism from the wizard will net you +2 or +4. A fox's cunning will net you another +2. If a party member has a luckstone, that's another +1. A party member or even a familiar (if your DM is generous) with disable device could aid other for another +2. All told, you could get as much as +10 out of all that though you're more likely to get +1 or +2. Still, it all counts. Maybe you can take ten and make it now. If not, try your luck or summon a monster to set it off.
Super bonus cheese: If you get the party cleric to cast imbue with spell ability on you, you can do some tremendous things. An imbued grave strike will let you sneak attack undead. An imbued divine insight will typically give you a +15 bonus to any one check at higher levels. Use it on a disable device check and fiendish traps become easy. For the ultimate in cheese, then use pearls of power to recover the spells as if you had never cast them.
