Depends what type of "Paladin" you want to roleplay as. The look and feel of the class is highly subjective.
When I picture a Paladin, I picture Sword/Shield, Heavy Armor, Restoration spells. Some people picture them using Maces, but that seems more like a Cleric to me, personally. It highly depends on how you view the class, there is no set in stone skill set they're required to use.
Also, I'd say any type of Steel would be good. Don't mess with Daedric Armor. Depending on your specific character's morals/views, he may or may not want to look into Meridia's quest for Dawnbreaker. Keep in mind that not ALL paladins are "good" per say. There can just as well be evil Paladins who worship the Daedra. It's all down to your roleplay and your image of your particular character.

The way I view my Paladin I'm currently playing is kind of like the Paladins from Final Fantasy. Most specifically, the ones from XI. Sword, Shield, Healing/Holy Magic, and generally a tank class.
My best advice to you is start with something basic, and figure out what you want to sculpt your Paladin into once Dawnguard comes out, as some things in that DLC may change how you want to play your Pally.
