Everything you need is in the high score thread and the info thread
I tried to be as much descriptive as I could about my playthrough experiences, as well as certain tactics.
As a Paladin, on impossible, I had problems up until lvl 18, when I got Resurrection lvl 3. Afterwards the game was a breeze. Even the last battle with Baal ended up with only a few casualties.
As a warrior, you have bigger army, but you don't have the luxury of using scapegoat units, which is a certain setback. To compensate for that, the warrior gets the easiest start of the game, even on impossible.
As a mage, you have neither a big army, nor a scapegoat unit options. In addition to that, you don't have decent spells available early on in the game. You may be hard pressed to use Fireball and Flaming arrow most of the time up until lvl 15-20. The best spells - ice snake, geyser, fire rain, etc - are mostly available in the mid-game. Until then, you'll be struggling like crazy, especially on impossible.
This is the only setback I was referring to