Contrary to my last posts, i have now RESTARTED SoU since i got mad with the crashing once chapter 2 started and deleted the game(and the characters). Now that i have the hotfix i've started a Paladin who will become a blackguard.

I'm currently level 6, and am wondering which feats i should take. I was thinking of Divine Shield or Divine Might.

What exactly does Initiative do? Is it worth taking Improved Initiative?

Then there is Great Cleave which i'm not that keen on, since it gets a little useless later on when you can't kill everyone in one hit.

Would Iron Will or Lightning Reflexes be any good? does a +2 to the saving throws really do any difference?

By level 8 my Paladin should be able to become a Blackguard...bwaaahahahaha...(i think)

I would take both of the Devine feats, personally, might as well improve both defense and offence if you can. As for improved initiative, yes, it's worth having, some. It's like any combat feat, if you get the roll, it's well worth it, and initiative decides who attacks first in a round.
As to great Cleave, it doesn't matter if you kill the target or not, in one shot, your Great Cleave attack is at the same bonus as the killing stroke, effectively giving you at least one free attack that round, at, if you killed on the first attack, your maximum attack bonus, well worth the investment.
As to the Iron will/Lightning Reflexes, it's all a rolls thing, if you take the feats, and always make the rolls, you'll be glad you did it. If not, you'll be cussing about it for 6 months, *maybe not, but for the purpose of my point*, it depends on how dice lucky you are, but any bonus is always helpful.

If you have a charisma based paladin then the divine feats are great. If you don't have much of a charisma bonus this won't help. I liked divine might quite a bit.

I usually passed on Iron Will as paladins will have better will rolls. Reflex rolls aren't as great, so you could go for lightning reflexes.

The Divine feat to take depends in part on the rest of your build. You need a good charisma score, for one thing. This would be 16 or more to make it worth it, though at later levels paladins get access to CHA boosting spells.
Divine Shield is typically useful if you're trying to get as high an AC as possible. That means the classic towershield/fullplate/bastard sword combination.
Divine Might is of greater use when you just want to do as much damage as possible, so that would be the traditional greatsword/fullplate pairing. Of course, if you have the luxury to be able to afford both, go for it.
It works fine in other combinations too, of course, it's just you'll get more out of a feat if it helps you in a field you're trying to specialise in. On the whole it is better to be good at something and weak at something else, than it is to be average all-round. You might not be able to tackle every situation, but the ones you can deal with you deal with well.

Initiative determines when you can strike in a round. Typically, casters benefit most from high initiative scores because it may let them get their spells off before their opponent is able to use a knockdown or similar. As a result, initiative also becomes important to those who would go wizardhunting, so that the casters' advantage is nufflied.

Great Cleave looks nice and can be useful from time to time. Though of course, any enemy you can kill in a single blow is not likely to be much of a threat to begin with, so you can usually afford to take your time. GC is also useful because it is a prerequisite for some of the more potent epic feats.

The +2 bonus to saves matters a lot at low levels, but not so much later on. In the case of the paladin and blackguard, saves are one of your main strengths and an important reason to boost that charisma. You can argue that you don't need the feats as your saves should be high enough, or alternatively choose to improve them even further. They are a totally valid choice for this combination.