My best character in my party is usually me, and i like to keep it that way. i've bet the mines on my own, and bassilus, yada yada yada. I'm a level 7,6 thief/mage, and I'm really good. I don't specialise in any thieving skill, and unfortunatly, i can't remember many second, third or fourth level spells, but because all the experience goes to me, i get to work at building a really good character. sure, i can't pick any other character's skills, i don't mind. I can take on almost anything.

It's a good way to build up a character at first, then restart the game after reimporting him.

Well it's one way to do it, But then I've never roleplayed on my own, there's always been buddy's, packmate's, pal's there to help me screw up the GM's plans.
Maybe it's the diversity of skills I like as well as some character in the party.
Of course you could always just use the cheat's or a hack editor to reach the same goal, althogh "complete the game first without cheats" is my view on things.