I'm working on creating a half-elf paladin character for a Pathfinder game. Full disclosure: this is the first time I've tried creating a character; I've used ones other people created before. In the text, it mentions something about "favored classes" I believe. What is this?
In Pathfinder, you choose a favored class when you create a character, and every time your character takes a level in that class he or she gets +1 hit point, +1 skill rank, or another race and class specific benefit as added in the Advanced Player's Guide. For example, here's the half-elf's list of favored class level benefit alternatives. See p.31 in the Pathfinder Core Rulebook.
Half-elves have the racial special ability "multitalented" that allows them to select two favored classes.
Let's say you create a new half-elf character and choose favored classes of fighter and rogue. You start off as a first level fighter. You can take +1 hp, +1 skill point, or +1 to CMD vs disarm or overrun. Then at second level you take a level in rogue. You can choose +1 hp, +1 skill point, or +1/2 (a half point, so no bonus yet) to Bluff for feints and Diplomacy for gathering information. At level three, you take another level in fighter. You get the same choices as at level 1 again. At level four you take a level in ranger - you get NOTHING! GOOD DAY, SIR! And so on. I'll also note that if you choose paladin as one of those favored classes, your choices on levelling are just +1 hp or +1 skill point as there's no racial alternate for Paladin for half-elves.
In D&D 3.5 specific races had specific favored classes, and favored classes affected the rate you gained experience rather than giving bonuses, but that is no longer part of the game in Pathfinder.