I finished the game as a sneaky Argonian who used blunt weapons. His name was Thump! (exclamation point included). There's nothing more fun than sneaking around stealing stuff excpet for thumping people on the head with a hammer. And there's nothing more fun than thumping people on the head with a hammer except for sneaking around stealing stuff.
Thump!'s favortie magic was alteration, with alchemy as a close second. I feel these two magics give a character the best chance of survival and mobility for the longest time without having to go back to a town to buy and sell. (same idea for Oblivion)
As for what Thump! thought about being regarded as the Nerevarine, I don't remember. I just remember what the locals thought about him; an N'wah and a filthy swit!
Most of mine considered themselves self-made heroes. It's the option that Dagoth seemed to respect the most, overall. That's not really why I picked it of course. It first my personality best.
I've had a lot of characters in the past, so many I can't even remember. The one I am doing now (just named nerevarine, Redoran Hortator) is that he feels that he can finally make something of his life, but after the events of tribunal he becomes disillusioned, believing after seeing Helseths amoral power-grubbing and Almalexia's madness that perhaps Morrowind was no longer the place for heroes, he leaves his best gear behind and goes to Solstheim as a lowly adventurer again to start fresh.
My Nerevarine was a Dunmer but one raised in Cyrodil (I played Oblivion first so felt using Cyrodil for backstory was easier to RP). He was a Spellsword who turned to crime to fund his magical research and that's how he ended up in prison.
At first he didn't care for the prophecy and was just following orders (he wasn't an imperial loyalist but saw the political advantages of being with the Blades). He was a loose follower of the 9 (especially Dibella because ;) ) but cared little for much beyond becoming a powerful mage and some mild hedonism.
He remained sceptical until getting the ring from Azura. After then he embraced that he was Nerevarine but still held no deep love for the historical figure of Nerevar. He saw himself as a recyled soul. Smash a bottle of wine, melt the glass and turn it into a vase. Same glass but a different thing. So he never cared that much about the Tribunal's betrayal. Indeed if the option were given he'd have used the Heart to attain Godhood (he had no plan to rule just liked the idea of being powerful and long lived).
My Nerevar would, given the right choices, have turned into a non-Telvanni version of Fyr (without the daughter-wives).
My current iteration of the Nerevarine is the altmer Sorcerer Tildindalf. He originally delivered the package to Caius in order to relieve himself of that particular duty. He took Caius' instructions to gain experience and learn of Morrowind as an invitation to permanently part ways with the old spymaster.
Tildindalf then joined the ranks of the mages guild with his sights set on replacing the incompetent and unpopular Trebonius and leading the guild toward a more scholarly path. His interest in history lead Tildindalf to the varied and somewhat sordid story of Nerevar, the Great Houses and the Tribunal. The history was rich, fascinating, and as yet open to debate.
This lead Tildindalf back to Caius while he was still merely a magician within the guild.
Tildindalf became all the more enthralled with the histories as he learned that he may play a part in them, spurned onward by the obsession with solving the mystery rather than by a sense of duty or morality. Even the triumph over Corprus and the reclamation of the Moon-and-Star did not stir Tildindalf from the story enough so that he personalized it. It seemed to him that he was playing out the narrative of a story that had already been told. He experienced the events as he would the reading of them.
It was not until he confronted Dagoth Ur face to face that he began to feel the personal connection to Nerevar. When Dagoth Ur asked Tildindalf, "Are you really Nerevar reborn?" he responded, almost involuntarily, "By the grace of the gods and fate, I am Nerevar reborn.".