Well, the only challenge left for me is Impossible Paladin, so I might try that one soon.
Advantages of Paladin:
He gets Resurrection straight away (VERY useful)
Mind tree isn't that bad (especially the skill that gives Might and Magic runes).
If he gets Sprites/Lake Fairies after the tutorial, you can stash them in a castle until you pick up Sacrifice/Anga's Ruby.
Mage is definitely better (esp Higher Magic) but I think that Paladin is strong too. The Mind tree might seem crappy but the further the game goes, the better the Paladin will do.