A player's vocation shapes their entire life. It usually dictates what kind of weapons they use, how they make money, what kind of creatures they prefer to hunt, and many more things about them.
A vocation is chosen when a character leaves Rookgaard towards the mainland. Every player has four choices for a vocation:
Knight: Masters of hand-to-hand combat and melee weapons.
Paladin: Masters of distance fighting with bows and crossbows and average magic users.
Druid: Masters of healing and supportive magic, as well as the Ice and Earth elements.
Sorcerer: Masters of aggressive and offensive magic, as well as the Fire, Energy and Death elements.
Druids and Sorcerers, due to their wave spells and runes usage are most profitable to hunt with area spells or runes. Knights and Paladins, initially mostly attack individual enemies putting a lot of power on a single foe, but after some levels can also use spells and ammunition to attack in area.
Each vocation has a different amount of Capacity, Hitpoints, and Mana that is gained with each level and each vocation also has a different rate of Regeneration of Hitpoints and Mana. In addition to these, your vocation also determines the speed of advancement in certain skills:
Knight: Advances fastest in fist, sword, club and axe fighting, shielding. Advances very slowly in magic.
Paladin: Advances fastest in distance fighting, reasonable with any other skills.
Druid: Fastest in magic level advance and very slow advance of melee and distance.
Sorcerer: Fastest in magic level advance and very slow advance of melee and distance.
The speed of advancement in fishing is equal for all vocations.
Your careful choice allows you to use vocation specific items like armor, weapons, shield and runes. There are also other differences. You are advised to read the pages for each vocation before deciding which one will fit your playing style best.