Some tips:
If you like to go at your own pace, with no hurry, then start with Prophecies. Amazing events will unfold for you.
If you would rather power level to the endings, start with Nightfall. You can usually find someone to run you to the docks, where you can get the best armor in the game. Top armor combined with a character class with decent run skills (i.e. Ranger), allows you to run yourself through and past a lot of missions for easy XP. As soon as you can, unlock the boat to Cantha (Factions), where again, the run skills allow you to accumulate fast XP for little to no fighting around Kaineng Center. As long as you don’t complete Seek out Brother Tosai, the Am Fah gangs won’t fight you. So, with just your heroes and henchment, you can completely all the missions in Bukdek Byway and Wajjun Bazaar and collect a lot of XP, gold, and Commendations. Don’t ever sell Commendations to other players, no matter how much they beg. You can always trade them to the Imperial Quartermaster collector for something valuable, like a Superior Salvage Kit, when you can either use or sell.
After doing those run missions, you should be at max level, with max weapons and armor and lots of max henchmen. Then, you can leisurely go back through any mission or quest you like. At this point, it’s fun to gain skills (or capture Elite skills) to supercharge your build. Once you’re supercharged, it’s fun to PvP in places like Fort Aspenwood or solo the Underworld.
Finally, guildwiki.org gives you all the info you need, although it can take more time to read through it all than to simply play the game.
Some good character classes to start with: Necro / Ranger (raise minions), Elementalist / Ranger (nuker skills, I like the burn spells like Immolate best), Ritualist / Ranger (spam spirits) or Ranger / Any for a Beastmaster with pet skills.
I believe being a ranger secondary gets you Storm Chaser, one of the best early run skills. Combined with Run As One, and you can run almost non-stop. Warriors can also run (Sprint + Charge), but I find that class insufficiently flexible. At some point, you should definitely get the Elementalist’s Flame Djinn or Air Djinn haste skills… those are the best run skills in the game.
A monk build can also work good, because if you’re good enough at healing, you can pass most quests and missions due to simple attrition, and other players will want you to join although you may find healing to be a slower route.