I'm going to assume that you've read my thoughts on choosing skills (here) to ground you in the basics of what I think about the various skills.
Based on this, it appears that the Mystery guild (Rogues et al) are of little benefit unless you wish to gain access to the skills offered by the advanced classes. This presents a problem. The Hunter/Ranger Lord path is crippled by the fact that bows are pretty poor weapons in this game. There are only a few powerful bows available and they're found late in the game. The Budoka/Ninja Lord path is appealing to many who get off on the concept of being a ninja. Why bother? A Monk/Shaolei Master or Shugenja/Kenjasai both offer the ninjitsu skill and bonuses to more useful skills (plus the ninja armour is available to wear if you really want to do so.) The Trickster/Cabalist path may be interesting if you wish to play a mage with strong Nether magic skills, as well as Trickster being the one means of gaining a learning bonus for bargain. The latter can be very appealing to a mage who wants huge numbers of spells available.
One last note on the Mystery guild--the quests to join and gain the second tier classes requires a very dangerous run to Skuldoon early in the game when you're not really ready for it. All in all, this guild should be left to the dark corners its characters likes to skulk, hiding from more honest pursuits. (If you wish to follow the dodgy path, the game is far more rewarding to highwaymen and thugs than sneak thieves. Backstab is not very useful given the tendancy for creatures to swarm the character. Try being a marauder instead.)
So we've managed to eliminate the Mystery guild as a choice. What to choose for your starting class of the three remaining classes? Mages have a hard time surviving early on. They simply lack enough spells to survive early on and posses no bonuses to either offensive or defensive skills. Mages can eventually become absurdly powerful, but save that class to join when you reach Fargrove. Mages start without a shield (so do rogues) and that's a very bad thing.
Two classes left: Fighter and Adept. Of the two, Adept has more starting benefits with a learning bonus to celestial magic and a few starting spells. The healing spell is a great way to save potions for those critical times in battle instead of constant use. Fighter has the benefit of learning bonuses to light and medium weapons and parry, which is undocument but the only place this exists. This bonus means quicker access to the advanced moves. Both classes offer learning bonuses for light and medium armour and shields, which is a great thing.
So which to choose? Unless you plan to follow a fighter/mage path, you should start as an adept. The initial celestial spells are both useful and very expensive for someone who is going to join the guild when they reach Fargrove.
So much for the first tier classes. The most imporant thing to keep in mind for the second tier classes is access to advanced spells. By taking a second tier Celestial class you gain access to very useful defensive spells. Five spells in particular--Unpetrify, Ward of Fire, Purify (cure poison!), Ward of Ice, and Divine Intervention--can make the game far less frustrating and are useful to all characters. The second tier of the Mages guild permits access to many powerful attack spells. I find rune spells underwhelming to say the least, so they're probably not worth worrying about unless your chosen class gives good bonuses to them. They're mostly buffs. (Actually, rune magic seems to be designed more for multiplay, so keep that in mind if you're going to play with others.) The nether magic has some interesting powers available; most of the spells tend to indirect attacks: summons, bonuses to damage, et cetera.
If you plan to play a warrior type, Paladin is an excellent choice. You can access to the full range of celestial spells, while being free to create the type of fighter you want. (The third tier after Paladin is Crusader--useful if you want to reach higher levels in the celestial skill, but otherwise not all that special.)
Mage types have two possible paths open. The first is a tank/mage who wears heavy armour and uses a sword often. In this case, Adept/Paladin is good choice since it opens up access the good celestial spells. (Paladin is also handy in that it opens up access to heavy weapons and defenses, which can be useful to say the least if you want to take advantage of everything you find.) Otherwise, choose a second tier fighter classes to complement your playing style. You will be fighting, so be prepared. Marauder and Samurai are popular choices to permit you to dual wield if you like the idea of being a whirlwind of destruction in melee. Knights make for good tanks.
The second mage path is a pure spell caster. In this case, you should probably start as an Adept and then choose either Celestial or Monk as your second tier celestial guild class. (For a real challenge, try playing as an unarmoured and unarmed mage using just spells and the ninjitsu skills from the monk class.) There are a lot of powerful staves available in the game, so just build the light weapon and magic weapon skills. You'll probably want to wear armour and you'll definitely want to carry a shield for defense, so take advantage of the learning bonuses from adept or fighter initial class.
Finally, we reach the third tier. Actually, this is where you should start your character plan, since you can only choose a third tier class based on one of the two two second tier classes you've taken. Examine the material available and choose one that suits you or sounds interesting. Pay particular attention to the diabolic skill offered. Spellfire (for Wizards) is absurdly powerful for heavy casters and Drain Life (Warlocks, Cabalists, and War Witches) is a good choice as well. Critical Strike (Shaolei Master, Hatamoto, and Ninja Lord) can prove useful too. Iron Will (Stargazer and Kenjasai) is very handy for handling those tough battles where you get locked in place by repeated hits. Inflict Wounds (Warlord and Deathlord) is very nice when being swarmed by lots of weak but annoying foes--particularly the flying ones. (Incidentally, the second tier Samurai class gains this diabolic skill. It's a good arguement to take that path for figher/mages.)
There is one additional consideration for female characters. This is to join the Sisterhood, a guild available to only females. This guild open up two second tier classes (Enchantress and Valkryie) which share the same third tier class. If you wish to take this path, keep in mind that it doesn't matter what your first tier class choices are. This guild replaces one of the second tier classes you would normally choose if you take this path.
The Enchantress is an excellent choice for pure spell casters. With learning bonuses to both Arcane and Celestial spells, as well as gaining access to both the Channel and Scribe skills, this can make for some very powerful casters. They also gain bonuses to thieving skills, which is a nice bonus since it's unlikely that you're going to have any Mystery guild classes if you've paid attention to my comments.
The Valkryie is the path for warriors. This class opens up pole arms (there are some very powerful ones later in the game.) It also adds learning bonuses to all basic weapon, armour, and shield capabilities.
The third tier class War Witch is interesting. It offers learning bonuses to all magic skills, as well as all types of armour. This can result in a very powerful armoured female spell caster. There are a few catches however. Joining this class has the highest skill requirements of any class. More, if you wish to follow the enchantress/war witch path, you're going to need to become a second tier fighter or celestial guild that offers you heavy armour. Otherwise, you won't be able to meet this requirement. And if you're following the valkryie path, you'd best be a mage/adept or else the magic skill requirements are going to be burdensome.
All in all, war witch is overrated and valkryie doesn't offer much that a second tier fighter class or the paladin doesn't offer. (Runes are under-powered and paladin also offers that bonus.) Enchantress is a useful choice for a second tier class if you want to create a monster spell caster.