First of all, you will either play with a squad of NPC space marines, or by yourself so play style will be dependent on that. A lone space marine is called a Killmarine if I understood that part correctly They need to be a bit more badass than regular space marines, or maybe just more versatile, so a tactical marine would be a nice choice.
Also, since a lone marine needs to be a bit more badass than a full squad, your GM might consider giving you a bit more than the regular starting 1000xp to spend, and in addition might consider allowing you to get a reknown boost (to respected) so you will get the option of a few more weapons, though that is up to him/her.
Note that the character sheet has some pre-filled skills, but Dodge and Intimidate should be "trained" on the sheet. This allows you to use your full modifier instead of just half, and will be a life saver. Also, if you're going to play a Space Wolf, you begin with the Counterattack talent (they forgot to add it in the corebook) and have the option to buy the Fleshrender talent for 500 xp as a chapter advance (also not mentioned in core book, but in the errata).
If you're going to be playing alone, you should take Bolter Mastery, which gives you a +10 ballistic skill and +2 damage with bolter weapons.
Since you're new to Deathwatch I'm not sure what you know or not so I might mention things you already knew, sorry about that.. But here goes
Weapons with the Tearing quality, like the chainsword or bolter weapons, roll an extra d10 for damage and can choose the highest instead. This means with a chainsword you'll roll 2d10 and take the highest, then add your damage modifiers. The Fleshrender talent allows you to roll an extra die with melee weapons, so instead you would roll 3d10 and take the highest. This not only increases your chances of Righteous Fury but will make sure your damage is most of the time not too low.
The Hardy talent (400xp) allows you to heal faster which could be helpful when you might need to be on the move and don't have an apothecary.
If you have 35-39 toughness, or 45-49 toughness you should also add a +5 toughness to make sure your toughness bonus is 4 or 5 instead of 3 or 4, this will also keep you alive much longer. If you start with more than the normal 1000 experience you might wanna raise toughness twice.
It's easy to get bonuses to hit with ranged weapons, especially if you're playing it safe and hitting people before they know you are there, so I'd stay away from raising ballistic skill for now, unless you feel it's really needed. +20 for full auto goes a long way, and +10 for short range (50m with bolter, or 75 with kraken rounds). Aiming for half an action is +10 and full is +20 so… It's easy.
As for skills, you might want the Pilot (personal) skill for 100xp (also in errata) that allows you to use a jump pack, which might come in handy when alone. With Hardy and either fleshrender or a +5 bonus to toughness, you will have 900xp spent leaving 100 from the original 1000xp so it fits perfect
You might want to take the Tech-Use skill later as it allows you to use things like an Auspex for some added awareness of near surroundings. It's 800xp though. All in all, as things progress, you should probably make sure you get 50 or so thoughness, for the awesome 10 toughness bonus, then take a few weaponskill increases, willpower, perhaps agility for some added speed (and initiative) all depending on what your starting stats are and what you feel like. Be careful, sniper from cover if you can, as tactical you also get a free special ammo each mission, Hellfire rounds are pretty awesome. Check them out.