I'd go for a Paladin, mainly focusing on strength and long, 2h weapons like polearms and 2h swords. Get large weapons 3 and master crossbow, and roughly 400 strength. Also, get a little Innos magic and some AK to make things easier - get Light, Healing, Cure Poison, Cure Weakness and some mana.
Either that or a Battle Mage type, with main focus on getting 250AK for mana regeneration(best skill in the game), and 1h weapon + shield with some combat skills. This adds up to great armor(due to shield), fairly good combat skills with some strength, and enough magic to take out whatever you can't take out in melee(Example: You take out orcs in melee, and trolls with magic).
I've completed the game with both these builds and they work out great. The most fun I've had was a pure mage build though, with over 500 ancient knowledge, roughly 600 mana, and loads of spells, but this build has a really slow start(untill you get mana regeneration that is). Either that or you need alchemy and a whole lot of mana potions.
My last, and 4th game, was a hunter based character with dual-wield and a bow, focusing on getting 300str to get health regeneration and the rest in hunting. While this works, and is fun at times, it's also frustrating because dual-wield is not very effective - I do as much damage with 1h + shield, and take less damage obviously, as I do with dual-wield. The bow works out great, but.. well.. magic is better.