I usually have 4 points in Zeal and maximise Fanatism. Vengence and Charge are my secondary attacks. Thorns is more for party play and the Martyr-class Paladin( Sacrifice and Thorns, these players enjoy the pain... ...).
The issue with Thorns is that it requires the monster to hit you, so unless your Hp is excellent, it is a very risky to depend on it as the monsters on Hell Difficulty really hit hard. Thorns also only works against melee monsters. Oblivion Knights and other range attackers are mostly not affected by Thorns.
Holy Shock seems nice, because it adds elemental damage to your attacks, but I would rather go with the Vengence+Fanatism combination.
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