My favorite build ever was a stealthy Psi user. I actually maxed agility and kept will at 10 for that build. If you want to lean more into the stealth aspect than the psi, do the same, and specialize fully in Interloper. Stealth is the easiest skill to boost with items, so if you just want to secure the initiative, start fights from an advantageous position, and do some stealthy things, then you won't need to maximize agility or even stealth. But you will do things with a max agility and Interloper+10 build that are otherwise totally impossible.
Regarding trap feats and skills, it's all relative. The Doctor feat isn't useless, but it's easy to find a better choice of feat for most (maybe all) builds. It was a few years ago, but even with my stealth build, I don't think Pickpocket was ever that useful (beyond the fact that I was playing with the oddity system, and you can pickpocket certain oddities). For Psi users, Locus of Control, Premeditation, and Force User are among the best feats you can choose. I prefer the Psychosis feat line over the Tranquility one, but both are very viable. Definitely take Interloper if you want to be as stealthy as possible.
Regarding Psi schools, I agree with notpl that Thought Control and Psychokinesis are your most important and on theme schools. That said, I wouldn't neglect Metathermics. Early on, Cryokinesis is your best form of no-cooldown damage due to its excellent range and that it slows enemies. And although Metathermics is loud, it will greatly improve both your single target and AoE damage for a good chunk of the game. Thought Control can eventually become your best source of damage against organic targets, replacing Metathermics, but that's very dependent on you finding the right gear to maximize your neural overload damage. And that's not a given if it's your first playthrough and you don't use the wiki or ask here about it. Temporal Manipulation can be skipped if you're spread thin with skill points, but ultimately it's your best answer to tough robotic enemies, and being able to reduce your cooldowns is also very powerful.
Here's a few other starting tips
- The oddity system will slow down your leveling significantly. Besides that, I don't like it, since it leads to enemy farming and scavenger hunting in order to obtain oddities. That said, if there is ever a build for the oddity system, it is a stealthy thief. Still, I wouldn't necessarily recommend it.
- If you are having trouble with the first few missions, stock up on molotovs and take a few bear traps. That's all you need.
- Throwing is extremely useful for almost any build, and that plus some chemistry makes the whole game much easier. If you have spare skill points, consider putting them into throwing, especially if you're struggling with fights.
- The most important crafting skills for Psi users are electronics and biology. For stealth it is electronics and tailoring.
- Mercantile is a very powerful skill, and an optimized Psi user will invest in it, however to make the most of it requires some meta knowledge or luck. If you invest in it without meta knowledge, you may still find it worthwhile, but it's possible to make decisions that render it somewhat wasted skill.