For your first time through, I might recommend single-class characters. They work pretty well for me...but it's all a matter of personal preference. Here is what I would recommend:
1. Paladin 4. Cleric
2. Fighter 5. Bard
3. Fighter 6. Mage
The paladin works well as a spokesperson, and has some special benefits you will discover later. The two fighters can muscle their way through most enemies you find. The cleric can, eventually detect traps, thus enabling you to avoid them. The bard is a great support character right from the beginning to the end. Just one more thing: DON'T SPECIALIZE THE MAGE for an introductory party. It's probably best to find out what works for you before risking a specialist mage. The reason I didn't include a thief as ZFR recommended is that clerics can detect traps, bards can pick pockets, and fighters can bash open chests (in some cases, you'll need to use Knock.) As for stealth, it's not extremely useful. It can be replaced with Sanctuary right from square one.
Just my opinions...
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