Two fun tricks for people who are new to the series:

1) In Hero's Quest/QFG1 choose the thief class and add points to magic at character creation. Now you can play as a mage-thief. In QFG2, become a paladin (you have to miss some thief quests to make this work). It doesn't matter in QFG3 which you choose, since most options are class restricted so choose whichever you want (paladin is always a good call) and then in QFG4 you can play as a thief-mage-paladin and do all the quests. It is pretty sweet.

2) You can play QFG4 as many times as you want, loading the character each time, so you can get a seriously buffed guy. It is a lot of fun.

you can't do all the quests in QFG4 as a paladin. You'll miss out on the mage only encounters.

Also in QFG5 you will be forced to do thief quests, if you have lock picking skill. You will have to trade the blackbird or the fake instead of the peac statue for ann's deed. You will be locked out of marrying Katrina. At the same time you will not be able to use lockpicks unless you are a thief class specifically iirc. but you can still disarm traps.

In QFG1, i started a fighter, and used building points to give him starter magic and the thief skills. its a bit rough going at first, as the char is fairly weak at first, but you can do everything in the game. Since you can save and use the char for the next games, not sure how it affects them, as I've only played part way through 2 so far.

Ya, that's my favorite hybrid setup. Since it has the sword and shield for best combat in the game. Only thing you will be missing is probably climbing, but you can get those skills in the next game.