Deus Ex is, in my opinion, one of the best games ever created. It's not easy to pin it down to any one genre because it spans several; I'd most likely classify it as a stealth-based first-person action/RPG. Before we begin, be sure you're playing with the latest patch, version 1112mf, which is an approximate 37mb download. If you have the Game of the Year edition, you're either there or at 1109f, in which case you'd only need the 1109 to 1112mf 4.5mb patch, which is a little more difficult to find. The good thing is that the standalone 1112mf (multiplayer/single player) patch will upgrade any version, so download that if you're unsure.
The amount of ways to accomplish any given objective in Deus Ex is almost always impressive, and probably the greatest reason the game is so fun. Take for instance, even Mission 1. You can power your way into the Statue of Liberty through brute force, hack your way in, be given a passcode to the front door, or find a back entrance into the building, but that's not all. You can dodge security cameras, disable laser fields with your electronics skill, hack ATM's and computer systems, travel through "secret" ventilation ducts, discover bonus areas for extra experience points, and always figure out how to evade or destroy the ever-present guards on patrol. The RPG skill attribute system makes it easier for you to take one approach over another, but each possibility is always available to you, even if it sometimes comes at more of a cost.
Each mission in Deus Ex has both primary objectives which must be completed, and secondary objectives, which may be skipped. It's recommended that you attempt as many secondary objectives as you're able to because you'll not only find more objects and gain more skill points, but will likely feel more a part of the world.
Because I'm not going to list the location of every item in the game in the walkthrough (to keep it fairly concise), be sure to search everywhere for datacubes (that usually contain helpful information and/or codes), ammunition, weapons and supplies: this includes under tables, on top of shelves and high places, in wooden crates, behind crates, in dark corners, under secret floor panels and within secret wall panels, underwater... virtually anywhere that is not immediately obvious. Deus Ex is stuffed with extras.
Likewise, I'm going to add that you ought to talk to everyone (who's green in your target reticle), even multiple times to get all the information extracted. That includes bums, hookers, receptionists, and little boys and girls... who can sometimes have important information regarding secret entrances, etc. You're going to be surprised at the amount of realism in the dialogue this game provides. It takes awhile for any one person to start to say the same lines over again.
As far as character creation, there are basically two ways to go about it as you progress in Deus Ex. First, there is the Jack of All Trades / Master of None character, in which you upgrade a large variety of skills that can get you past most any situation, at the cost not being the best in any particular pursuit. And of course, the opposite style, where you focus your upgrades and experience on a limited skillset that suits your gameplay style, becoming deadly accurate and proficient at the few skills you concentrate on.
I'd strongly recommend taking the focused path, which in a smaller sense limits your gameplay options, yet makes it easier for you to proceed in your given gameplay style and sometimes forces you to be creative. Other options will always be available to you even if you focus. For instance, one popular choice of character includes the sniper/hacker, where you'd focus on updgrading your computer skill and rifle skill to master eventually, and spread a few upgrades to whatever else you may feel like along the way. Usually what works is to focus on a weapon skill and then one or two of the complimentary stealth-based skills such as electronics, lockpicking or computers. Swimming is eventually good after you're finished with your primary concerns, and Environmental Training isn't a bad choice for easier access to certain places later in the game after you've accumulated some extra points. Whatever you do, don't worry, play it how you want and remember: there's usually always a way in.
For the walkthrough, I've chosen to write it in the style of my favorite way to play, the stealth/sniper/hacker (though you can throw in electronics/lockpicking as you'll be doing a lot of that too). Therefore you'll at least want to have computer to trained. The favored method for combat is non-killing at first and avoidance of guards, and when "forced" to attack, use my advanced rifle skills (or adequate tranq/stun skills in the beginning of the game) to nail bad guys before they notice me.
As a result of this style of play, by following along with the walkthrough you'll see many secret areas, but likely miss out on one or two more direct approaches in several areas, and of course the obvious frequent spoils off of your dead enemies' remains... until a few missions later. This is just one of many ways through the game, but a fun one. Feel free to branch off at any time and come back, and likely you'll be able to pick it back up from one point or another.
At the beginning of the game, you'll get 5000 experience points to divide between various skill upgrades, and you begin with Pistol already at trained. I'd suggest taking Rifle up to Trained or Advanced, and/or Computer up to Trained or Advanced (Advanced also gets you more money at ATM's, sometimes useful for buying supplies), and either save the remaining or throw it into something like lockpicking or electronics. Speaking of those, whenever you attempt to bypass any security device, you'll need either lockpicks or a multitool. Your skill (untrained, trained, advanced and master) determine how many of these items you'll use for a successful bypass or open. Lockpicks are always used on locked doors and chests, and multitools to disable fields and traps. The skill description will tell you more.
If you are into stealth yet don't mind some fighting, I have two words for ya: sniper rifle. With this awesome weapon, you can take out security cameras and gun turrets in one shot (not a very well known fact), take out most any humanoid enemy in one shot and several of the fiercer animals in two, all from an insane distance. The only drawbacks to the sniper rifle is that it's hard (but not impossible) to fight in close quarters with it (which is why the assault gun -- also in the rifle category -- becomes a good supplement to the sniper rifle), and ammo is fairly scarce. You'll want to use your prod and tranquilizer gun, or even pistol to save on 30.06 sniper rifle ammo.
On to the walkthrough!