At level 40 you can do a chain of quests that allow you to become either a DK or a Pally. There is a heated debate over which one is better and before I get any further I am going to make it clear that IT DOESN'T REALLY MATTER WHICH ONE YOU PICK. The only way you can pick the wrong one is if you pick one that doesn't suit your play style or if you ignore the paragraph below:
Before you read any further if you suck at Vindictus and find yourself constantly being mauled by the bosses against a wall in the first few minutes of the boss fights and die a few seconds after being revived then please stop reading this post and pick Paladin. At the least you might be able to take an extra hit or two and distract the boss a bit before you die. Conversely, if your a maniac who doesn't get hit like this guy http://www.youtube.com/watch?v=7Vk3V8L-QeY please pick DK (if you really are this good please continue reading if you feel like it).
The remaining people who are reading should be average players (or people who are extremely stupid and should uninstall the game and are reading out of spite or people who are pro and are curious to what I have to say). The choice you pick should reflect your play style so if you find yourself playing close to the bosses in order to try to get small hits or you like to finish your hit when the boss's vulnerability phase ends to get an extra hit in or finish a smash pick Paladin. On the other hand if you like to wait out a bit and then do as much damage as possible when the boss is vulnerable pick DK. Paladins have extra armor but are NOT meant to tank. If you meet someone who picked Paladin to tank hits (unless they mean block hits with a shield as a Fiona, magic amber as Evie or Shock Absorb as Karok) then that person is an idiot and chose the right transformation and will hopefully last a little longer before dying if you boat with them. Anyone who has gotten to level 40 should know that the game emphasizes not getting hit and should be able to mentally grasp the game mechanics. Being a Pally will not allow you to ignore boss attack and let you pump out as much damage as you like. The extra armor that Pallys get allows them to play a little more aggressively since they will be able to take an extra hit or two compared to DKs without dying or having to run away to drink a pot. At the same time the extra damage that DKs get allows them to increase the damage they do in smaller intervals and do a ton of damage during vulnerability phases but makes them more vulnerable to attacks compared to Pallys. In other words DKs get more damage and Pallys get more flexibility in their play style. Take note that the extra attack and m attack that is received from the DK skill steal is fixed off your damage but not steal rank so don't rank that up thinking that you can smash attack on the other side of the map to steal damage and then maul a boss when you hit the damage cap.
In other words pick a transformation that you think fits your playstyle or the playstyle of your charachter. For example you could pick DK for Lann since a Lann's role in a party is to be the damage dealer or you could pick Pally so that if you misjudge the length of a boss's vulnerability phase you can take a hit without having to worry as much.