Do you want to try a new style of sneaking around? Something a bit more challenging in the late game?
Do you want to be edgy and awesome looking while striking down your foes with a wicked-looking Scythe?
While it does take a little bit to initially set up, this is pretty rewarding.
*I highly recommend power-levelling smithing up to Daedric to you can craft Lilith's Sickle, your main weapon. Doing a sneak-archer type early game can help you in the long run, especially since Kayn is said to have mastered virtually all weapons. While having a one-handed weapon might be worth it for some people, the ranged advantage that a bow inherently gives is too good to pass when you have to level sneak.
*You can go with two magic+defense combinations, I just prefer to be as canonically close to Kayn as possible; thus we have alteration with mage armour. You can go with Illusion if you really want to since it still synergizes. If you take up Illusion instead of Alteration, use Light Armour, but avoid going past the first perk, you probably won't use a helmet anyway to make spending those perks worth it.
**If you want to go the extra mile; Feel free to take up Enchanting and Destruction for the Chaos Damage enchantment! Pairing this with Illusion in the mid-game will enable a ton of silent devastation through Silent Casting.
**The Standing Stone is going to likely be swapped between The Lover, The Warrior, The Mage and The Thief early depending on what you're focusing on levelling first. Transitioning off of those would be simple as there is always The Atronach, The Tower, or The Serpent depending on what you are particularly weak to or whether you value more CC over defence.
**My personal choice in the mid-game is actually The Shadow, both for the obvious Shadow Assassin lore reason and for my lack of Illusion in my main build path.
***Race is recommended to be any of the pale-skinned Human races, though I recommend Breton or Nord for their racial traits, bonuses, and visual aesthetic.