Rekov: The only thing that I think would be really helpful is some basic strategy on leveling up the different classes of hero.
Jason_the_Iguana: Eh. That's pretty much the same for all classes. Just attack weaker enemies and try to stay out of harm's way. It's only tricky early in the game, or when you're playing multiplayer and have to use autocombat a lot. (There are some specific tricks to make autocombat work. I'm not too good at them. Basically: don't let injured troops fight, and make stacks that all have the same movement rate so the AI won't rush your cavalry ahead on suicidal charges.)
The only big difference in the early game is how much access to healing you have. But that depends on race as much as on class: draconians and orcs and goblins get bonus to healing rate, humans, halflings and dwarves get priests that heal, Elves, Frostlings and Tigrans have to depend on the creation adept sphere (which gives you a healing spell.) or heroes/leaders that can heal or boost the healing rate.
If you play one of the three races without healing abilities and have a class that doesn't get healing either (i.e. not a necromancer, theocrat or archdruid. Warlord get a little healing, so do Dreadnoughts but they get it too late to help) then it gets trickier. I mostly try to get a healing hero to join me, but that depends on luck. And necromancers struggle to heal troops that don't have your leader with them, until you get some research going.
These are some good points, but I think Rekov was more asking about how to spend points for each class once they've levelled up, rather than getting them to level up.
To answer that, it really depends.
First, you need to assign each hero a general role: General, Fighter, Support, or Caster. The General will lead the stack and stock up on stack-wide buffs. Bear in mind that the highest level hero will be the stack leader, so always make sure your General is the highest level hero in the stack. The exception is your Leader, who will always lead the stack. For this reason, General is one of the best roles for your Leader.
One thing to remember is that all classes can be good at all roles. Even the Warlord gets some awesome combat spells, and even the Sorcerer gets some great fighting abilities. Still, they do tend to lean one way or the other.
IMHO the best classes for General are the Rogue and Warlord. They both have a lot of nice, powerful army buffs that focus on improving the raw stats of your units (Warlord in particular: Toughness and Blood Brother are just amazing). They also give some nice passive abilities (an entire army with Charge for Warlord, or with Wall Climbing for Rogue).
Honourable mention goes to the Theocrat. The Theocrat has some decent leadership abilities, but starting at level 11 they get access to the absolutely incredible Divine Justicars ability. It gives your entire party Resurgence, which is just insanely powerful. IMHO Theocrats make for a pretty good General/Support multiclass.
Fighters are your front-line heroes - the ones who will be both taking and dishing out heavy damage. For Fighter, I generally prefer Warlord and Dreadnought. The primary thing you're going to want to do with a Fighter is invest points into raw stats. I find this to be most viable with Dreadnoughts because many of their abilities aren't quite as useful without machines around. Dreadnoughts also get the all-important 20% Physical Protection upgrade. A melee build also synergizes well with their ranged weapon of choice, the Musket. Warlords also get some really nice stuff here.
Honourable mention goes to the Archdruid and the Rogue. With Assassin's Strike and Backstab, the Rogue can do some absolutely massive damage whenever there's an opening. Archdruids, again, aren't all that special as Fighters up until level 11, where they get the incredibly powerful Regrowth, allowing them to tank like nobody's business.
Casters are spellcasters (duh). These guys will usually end up being pretty weak fighters because you'll be investing almost all their points into new spells and, more importantly, more spell points. Still, they can be absurdly powerful, so long as you nurture them and keep them safe. For this role I prefer the Sorcerer and Archdruid. Both of them have powerful multi-target damage spells (Chain Lightning and Hornet Swarm, respectively), and honestly even just getting these spells and then giving them enough spell points to cast them several times per day will make them powerful. However, their higher level spells are even more noteworthy. My favourite is actually the Archdruid's Vengeful Vines spell, which will make sieges a breeze. They also have Call Beast Horde, which is nice, especially against AI who often isn't as good at prioritizing targets. Meanwhile, the Sorcerer has the incredible powerful Mass Stasis and Static Electricity, which can quite easily turn the tables of a battle. Finally, the Sorcerer can get access to Chaos Rift. This will take a lot of levels as you need a substantial amount of casting points to pull it off, in addition to being level 13 to get the spell itself, but man, is it worth it.
Honourable mention goes to Dreadnought. Most of their spells, while certainly powerful, aren't necessarily enough to base an entire hero around spellcasting. Until they hit level 13 and can start casting Destabilized Mana Core. If you can get your Dreadnought up to Invention III (not hard) and use items to buff them up to a high Fire Protection or even Fire Immunity, your Dreadnought will be able to bring down entire cities alone.
Finally, we've got Support. This is where Theocrats and Necromancers really shine. Support heroes rely mostly on special abilities. Theocrats have got Heal, of course, but they've also got Touch of faith, Turn and Control Undead, and, most importantly, the all-powerful Convert ability. On top of that, most of their spells are very well suited for a Support role (in particular Purifying Burst and Blessing of Health). Necromancers suffer from the same disadvantages as Dreadnoughts - i.e. unless it's the Leader's class, most of their abilities benefit units that probably won't be a large part of your army. Still, the Necromancer hero gets some incredibly powerful status effects. Seriously, in between Inflict Despair, Inflict Enfeebling Fever, Energy Drain, Inflict Curse, and Inflict Ghoul Curse, a Necromancer's attacks are potentially capable of taking a T4 unit and reducing it to the strength of a weak T3, then having it rise again at full strength afterwards to serve you. Really nice stuff.
Honourable mention goes to the Rogue. Sabotage, Cause Fear, Taunt, and the all-important Charm and Break Control make the Rogue a decent choice for this as well.