For first run I'd recommend normal. It's the same as hard but has a few enemies less which is a huge plus because the combat can be somewhat chaotic, especially when you're new to the game.
As for lockpicking - all you need is someone in your party with high mechanics skill (here I'd recommend you turn off auto leveling of companions so you can distribute their talents yourself).
When it comes to classes I'm partial to Ciphers - in fact I started a fresh run recently and built a really great cipher. The main draw for me is having access to all my spells in every fight and since Ciphers use focus to cast spells and you generate focus by dealing damage you can cast a lot, unlike wizards, druids and priests who are limited with the amount of spells they can cast per rest (and later on per encounter). I went with a Blunderbuss (and later a war bow) as my weapon of choice because it's amazing for generating focus at the start of the fight. But if you want you can build a melee cipher as well, both work really well.
Let me know if the class interests you and I'll write the talents and spells I took.