I've played with all of them...
Honestly, I don't understand how they could have chosen that warrior instead of the paladin for the princess. He should have been in the second part based on his appearance and stats! Idiots...
In my opinion, I now only play as the mage (although I rarely choose the paladin). The advantages for me are that I play defensively; I can use the spellbook twice, which is a great weapon; I fill the stacks with archers and simply defend with magic and spirits, and then it's fun.
The disadvantages are those succubi with infernal exchange and dragons...