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Each role that we've seen so far basically requires you to train up stuff that is associated with the role in tabletop. Fighter needs a bunch of BAB, fort, hp, etc.
So for a Paladin I'd guess:
*BAB
*Fort
*Will
*hp
*weapon attack bonuses (likely heavy blades?)
*Power (but likely only to 20)
The above largely overlap with Fighter, but are still very useful on their own.
If you've trained those then when Paladin comes out it'll mostly be class features and paladin specific armor feats you'll need.

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This interests me also. What combination of Fighter & Cleric is needed?
I haven't been able to study the available info/sheets in detail, so I don't know how much overlap there is in those two roles.
For my Dwarven Paladin, I plan on building him as a Fighter (specialization in Axes), with some minor cleric healing/buffing abilities. Also, banking some XP so when Paladin abilities come online I can get them right away.
After all, as a Dwarf of Forgeholm, I have a moral duty to slay as many goblins, orcs, and giants as I can. :)

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To be honest. I am most likely going to make my DT a paladin. The way XP works, if i miss spend it, iv lost the time spend on the xp.
So if I want to play a class, I should wait and use my DT for it. that way I dont make any mistakes.
I can play a different character until then, that way I can get the full benefits of that character while I play them and I dont have to worry that I wasted xp.

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To be honest. I am most likely going to make my DT a paladin. The way XP works, if i miss spend it, iv lost the time spend on the xp.
So if I want to play a class, I should wait and use my DT for it. that way I dont make any mistakes.
I can play a different character until then, that way I can get the full benefits of that character while I play them and I dont have to worry that I wasted xp.
This sounds very sensible to me.
You could also work on one or both of cleric and fighter for now, and plan to multi-class into paladin when the time comes. The overlap should mean that you'll already have some of the requirements.
I'm still not sure how much PFO character development is going to play out like EVE character development, with many older characters having picked up a bit of several different roles along the way, and how much it's going to play out like tabletop Pathfinder, where the advantages to those who specialize in one role their whole careers lead many characters to focus on a single class.

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My plan is to have a Paladin and a DT Aristocrat. Since both character concepts involve roles not in the game yet, and I don't plan on sitting around twiddling my thumbs until one of them is in, I'm going to try and train towards the one most likely to be in first...which I think is the Paladin.
So I gots to be strategic when it comes to building my first character.

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@Mbando,
Having had a chance to play Alpha now, any thoughts on how to start building a Paladin based on the available information, and staring with a "Cold Start" in the next two builds?
The amount of options (with no tooltips) is overwhelming, so Id like to hear you thoughts on this.
(PS: I have sent you some PMs, have you received any?)

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Any xp spent on heavy weapons, armor, shields, health, basic combat bonus, defenses of reflex, will, and fortitude will not go to waste and it will carry you for several months worth of training.
We are starting in the current build if alpha with a bit over 100,000 xp. In EE we will be starting with 1000 xp and earn +100 per hour (2400 per day).