You've picked your race, customized your character, given it a name that will not flag you as stupid to half your server, and you're about ready to rock. You'll start off with two skills: Sinister Strike and Eviscerate. I always put Sinister Strike and Eviscerate as my 2 and 3 key bindings. At this point, you're probably wandering around wondering when you're going to get Stealth. Go off and kill enough mobs to get 20c, and then come back to your rogue trainer. He'll have Stealth available to purchase. Bind Stealth to something easily accessible (say, your center mouse button.) Pick up your starting quests and level until 4.
Now is as good a time as any to discuss two main mechanics of the rogue class: energy and combo points. Energy is the rogue equivalent of mana/rage, in that it's the currency we use for our abilities. However, it differs in fairly key ways. You will always have 100 energy; your energy will always regenerate at 20 per 2 seconds; and your abilities will always cost the same amount. Of course, there are talents that increase your energy, on-use activities that speed up your energy regen for a short time, and pieces of gear that decrease the energy cost of your abilities -- but we're not going to get to any of those for quite a while. For now, the only thing you can do with your energy is time your abilities to get the most from it.
Combo points are the flip side of energy. Instead of spending them on attacks like Backstab and Sinister Strike, you actually gain them from certain attacks. Sinister Strike, Backstab, Garrote, Gouge and Ambush, along with several talented abilities like Hemorrhage and Mutilate, will give you a combo point. (Actually, Mutilate gives two, and a certain talent will give you an extra combo point on crits, but that's not going to come up for a long time.) You can get up to five combo points on a certain target. Whenever you have from one to five combo points on a target (which you can see on the screen), you can use a finishing move whose effects scale with the number of points on the target. The finishing moves can do anything from damage to stuns to speed effects.
With that in hand, Sinister Strike generates combo points and Eviscerate spends them. SS until your enemy is below 40% health and then Evis. 222223, 222223, etc. You probably won't even need to use stealth in the starting areas.
At level four, you'll get two things: your first positional move (Backstab) and your first opener (Pick Pocket.) Pick Pocket will be used a little more later, when we start getting macros with Cheap Shot or Ambush, but until then, use it on any humanoid mob that you can stealth by. Backstab does a lot of damage but requires daggers. If you don't have a dagger, don't freak out and buy one. Honestly, daggers are not a great leveling build until you get to Mutilate, and even then swords are better. If you do have a dagger, start opening up by using it when you're stealthed behind your enemy.
You get to choose your profession at level 5. You have a lot of options here. Skinning/leatherworking might seem like a natural choice, but the rogue leatherworking gear is underwhelming. Rogues with their eyes on end-game PVP might want to check out mining/blacksmithing for the excellent BOP weapons. Tailoring is less than useless. Jewelcrafting and enchanting are good options for anybody, but both require a significant time and money commitment. Engineering might be a nice pick if you're a miner, a PVPer, and don't want to make a lot of money. On my rogue, I picked herbalism and alchemy. They might not be the best consistently profitable professions, but you can make some good money if you know when to put your potions/herbs in the AH. Alchemy is also by far the easiest crafting profession to level.
Level six will bring your first stun, Gouge, which at first might seem useless. What's the point of standing around while no one attacks? Well, Gouge enables you to stun an opponent that's fighting you face-to-face, then run around and Backstab him for tons of damage. This is a good point to do two things out-of-game: pick up one of the many stun timer mods, and learn how to turn using your mouse instead of your keyboard. This will make leveling, especially with daggers, much easier. You also get a new rank of Sinister Strike. At level 8, you get another rank of Eviscerate and your first "oh crap oh crap oh crap" button, Evasion. The 50% dodge chance really helps for taking on higher-level mobs, handling an accidental pull of a lot of enemies, or frustrating your PVP opponents.
Congratulations, you're level 10! The first thing you need to worry about is talents. It's widely accepted that swords are the best thing to level as. However, it's also widely accepted that Assassination, a dagger-friendly tree, is the best leveling build. What to do? Personally, I would take two points in Improved Sinister Strike, three in Improved Eviscerate, two in Remorseless Attacks, and three in Ruthlessness. However, WoWWiki recommends this talent build for the first 20 levels: two in Imp SS, two in Remorseless Attacks, three in Malice, three in Ruthlessness, and two more in Malice. Choose based on your playstyle.
You also get three new attacks: Sap, Slice and Dice, and Sprint. Sap, which can only be used out of combat, is a great way of turning those three-pulls into two. Slice and Dice is the best rogue finisher for raids, but you're probably killing things too quickly to really see the full benefit of it. However, for longer fights, an SS/SnD is a good way to start off on the right foot. Sprint is ... well, Sprint can get you to stuff (fleeing enemies, nodes, treasure chests) or away from stuff (enemies, higher level players, molten lava.) Level 10 also features a quick class quest to get a decent dagger. Do it for those backstabworthy occasions.
At level 12, you'll receive a new Backstab and the ability Kick. At this point, Kick is just a spellcast interrupter. When you're fighting a caster, wait until they're at least 75% done with their spell and then lash out with your Kick. They'll be locked out of that school of magic for five seconds, devastating for certain enemies and classes. Level 14 will bring two new skills: Garrote and Expose Armor. Expose Armor is good for fighting warriors or mobs with a lot of armor, but otherwise, isn't super useful. You might think it's a good raid debuff, but you'd be wrong -- if you have a warrior tank, he'll yell at you for erasing his Sunder Armors.
Garrote is your first real damage-dealing opening move from stealth. Create a macro like this one:
/cast [nostealth] Stealth
/cast Pick Pocket
This SHOULD work (let me know if it doesn't) to pickpocket, autoloot, and then Garrote your opponent from stealth. Handy for when you get to ...
Level 16, where you learn to open lockboxes! There is an associated quest that I'm not going to go over step by step. Basically, go to a trainer in a major city and run around for them a bit. They'll give you some Thieves' Tools and send you to a ship south of Ratchet (Horde), troll ruins in Ghostlands (Blood Elves) or Redridge Mountains (Alliance.) There will be many lockboxes, one of which contains your quest item. Pick as MANY AS POSSIBLE. Pick until your skill goes gray. This will be much easier than coming back later. Level 16 also gives you Feint, which is totally useless if you're not in a group. If, for some reason, you are in a group, use it to make monsters attack the tank instead of you.
At level 18, dagger rogues will get something they've been waiting for a long time -- Ambush. If you're daggers, remove Garrote from the above macro and put in Ambush, and use it on absolutely everything. Ambush knocks off so much health when it crits that it's not even funny.
And, finally, you'll hit level 20 and the new, increased leveling speed. At 20, you'll be picking up a faster rank of Stealth, some general spell upgrades, and the new finisher, Rupture. Like Slice and Dice, Rupture is great if you intend to get into long fights. Rogues who go straight Subtlety or Combat can get new abilities at 20, but if you're following this guide, you won't get anything new. The big deal for rogues at 20 is the ability to use poisons. However, to use poisons on your weapons, you'll have to complete one of the most level-inappropriate, PITA quests ever created -- the poison quest. Since Krystalle covered this so well earlier, I'll pass on it, only to say that the easiest way to do it is to get a higher-level friend to help you out.
Do you have any tips on leveling a lowbie rogue? How about what you wished you'd have known when leveling your own?