Sufyan: Whatever you want, there is no optimal first playthrough.
I'd have to disagree. There is an optimal build, or rather, a list of things to not waste XP on that should be heavily considered when building a character. The game includes a number of NPCs that will give you skill points for free if you meet requirements and haven't gone over, and there's several skill books as well.
It might seem trivial to ignore them as it feels like there's only a few here or there, but ultimately you've passed up on over a hundred free XP worth of skill points.
Just in the vanilla game without any of the whacky plus patches or mods, there's the following teachers:
Brawl 2->3 (Nines) 6xp
Finance 4->5 (Fat Larry) 12xp
Melee 3->4 (Nines) 9xp
Firearms 3->4 (Romero) 9xp
TOTAL XP: 36
Technically, Beckett can also raise your stats a couple of times, but I've found him to be wildly inconsistent and buggy and wouldn't rely on it. Also, if you're a Nosferatu you have access to a clan quest that can give you Computer 5 for free, which is another 15XP.
The real meat is, of course, skill books though. In the pawnshop you start the game in, there's no fewer than five free points.
Stealth 1->2 (Pawnshop) 3xp
Computer 0->2 (Pawnshop)x2 6xp
Firearms 0->2 (Pawnshop)x2 6xp
Brawl 3->4 (Empire Arms) 9xp
Finance 3->4 (Empire Arms) 9xp
Melee 2->3 (Skyline Apartments) 6xp
Dodge 1->2 (Grout's Mansion) 3xp
Security 3->4 (Museum) 9xp
Computer 4->5 (Hollywood) 12xp
Melee 4->5 (Chinatown) 12xp
Dodge 4->5 (Giovanni) 12xp
Firearms 4->5 (Leopold) 12xp
TOTAL XP: 99
So, even if you want to build say a Firearms character, it behooves you to not put any of your precious starting points in Firearms. Simply buy the two books from Trip and get Firearms 2 without wasting any skill points right from the get-go. None of the books or trainers are positioned so late or are for such low amounts that it adds difficulty to the game waiting till that point to acquire. For example, sitting on Brawl 2 and waiting for Nines to raise to a 3? By that point you've only done Santa Monica which has virtually no combat at all. And then you can head immediately to Empire Arms and raise it further to a 4 without having wasted the 12xp.
Note that you don't even have to take all the skillbooks. If you know that you only want to use Melee and have no use for Brawl or Firearms, then avoid putting the minimum XP needed to raise those and skip those trainers and books entirely. But even for melee only you can hose yourself out of 27xp worth of free dots if you don't plan ahead.
Oh, and the overall XP saved is 135 (147 for a Nosferatu.)