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I always pick Grog first because he can travel long distances, which is very useful in the early stages of the game – there are different mines and creature recruitment locations. If you can also find him boots of swiftness, then you're golden. No one will catch him. Well, and then, when he builds up his army, he's also good in battle; just give him "Cursed Lands" and teach him "Unholy Word" (this is against the good-aligned factions).
