Which Feat for this Tiefling?

[Dr. Zoom]

It's not sexy, but Improved Initiative is a great choice for a rogue. Your greatest combat ability is sneak attack. Being able to attack flat-footed foes in the first round is a vital tactic for rogues. It is one of the most popular feats in my group.

I also suggest 2 levels of fighter at 4th and 5th level. Take dodge and mobility. Then continue with rogue levels at 6th level and take spring attack. Stay with rogue, add a few fighter levels every so often, or take a PrC, whatever makes sense for your character.

Weapon Finesse requires a +1 BAB, but that's spilled milk now. Take Improved Init. at 3rd and "switch" them.

 

[Trellian]

I agree with Dr.Zoom. This will give you an INit modifier of +9, enough to win initiative most of the times.
Don't spend any precious feats on the useless "+2 bonus to two skills" kind of feats. You have 10 skill points every level, you dont spend a feat for a +2 modifier.

3rd level: Improved Initiative
6th level: Iron Will
9th level: Improved Sneak Attack