CREATING YOUR PROTAGONIST
If you create a new character in Shadows of Amn, you will start the game with 79,000 XP. If you create a new character in Throne of Bhaal, you start with 2,500,000 XP.
If you import a character from Baldur's Gate 1, but without playing Siege of Dragonspear, you'll start with 89,000 XP. If you import a character after playing Baldur's Gate 1 and Siege of Dragonspear, you'll start with 500,000XP.
Creating a character is done in eight steps:
Choose whether you want your protagonist to be Male or Female. Apart from the available romances, this choice has next to no impact on the game.
Once you have chosen your gender, pick a player portrait. Since this, too, has little or no effect, pick any portrait you like, or import one.
This choice is more important. Your race decides which classes you can play, plus bonuses or penalties to your stats.
This is the most important choice you have to make! Do you want to play a brave Fighter, a raging Barbarian, a cunning Thief, or a wise Cleric? And do you want to play the standard version of your preferred class, or a specialist kit? Or maybe a multi-classed character who can fill several roles? Your choice, really! No matter what you pick, you can find NPCs to complement your own skills.
NOTE: Some classes, in particular multi-classes, are more powerful than others. A multi-classed Cleric/Ranger is often seen as one of the most powerful classes, since you get plenty of Weapon proficiency points, two extra proficiency points in Two Weapon Style, and you can cast both Cleric and Druid spells.
Another class that is regarded as very strong is the Fighter/Mage. A special case of this is to play a Human and start as a Kensai, then dual-class to a Mage later on. A Kensai has a few special abilities but can't wear any kind of armor. But since Mages can't wear armor anyway, it's just a way of getting some Fighter levels and special abilities.
A note on Dual-Class and Multi-Class
Both humans and non-humans can play more than one class. However, they do it in very different ways.
Humans can dual-class. This means that they start in one class and then switch to another. For example, a human can start as a fighter and then switch to being a thief. The character then stops advancing as a fighter and plays only as a thief. To do so, he or she must have at least 15 in the primary stat of the original class (in this case Strength) and 17 in the primary stat of the new class (in this case Dexterity).
When a character dual-classes, he or she "forgets" everything they have learned up until now until they reach a higher level in the new class. If for example a 9th level Fighter dual-classes to a Thief, they forget everything they learned as a Fighter until they become a 10th level Thief, at which point they get their Fighter abilities back.
Non-humans can multi-class. This means that they can play two or in some cases three classes at the same time. However, they advance at only one-half or one-third of a single-class character. For example, if a Fighter/Thief receives 10,000 experience points, they will gain only 5,000 XP in each class.
This can be viewed as your basic morality and the way you interact with the world. Good characters tend to help others out of generosity or community spirit, while Evil characters will only help others if they expect a benefit to themselves. Lawful characters are predictable and tend to follow society's rules, while Chaotic characters will do as they please and conventions be damned! Your decision will affect your starting Reputation:
Your alignment also affects which special abilities you start the game with (only in Shadows of Amn!). These are the abilities you supposedly gained in Baldur's Gate. I believe they are more or less random but the random chances depend on your alignment. The more Lawful and Good you are, the better your chances of getting the "Good" abilities like Cure Light Wounds. The more Chaotic and Evil you are, the better your chances of getting the "Evil" abilities like Horror and Vampiric Touch.
You will lose the special abilities rather early in Shadows of Amn so don't pick a good alignment just to get more Cure Light Wounds abilities!
Your choice of alignment is limited by your choice of Class. For example, Paladins must always be Lawful Good, Rangers have to be Good, and a Priest of Talos is Evil.
Here is where you roll your stats. Be sure to hit "Reroll" until you get a decent roll, then distribute the stats to your liking, making sure to raise the most important stat(s) for your class(es). Fighters should have a high Strength, Clerics a high Wisdom, etc.
I would always settle for a stat sum of at least 85, so I can raise the most important stats to high values without having to dump other stats too far. After all, I am a Child of Bhaal; I can't be expected to have just normal abilities!
Distribute your Proficiency points to the kind of weapons you plan on using in the game. Make sure to also check out the Weapon Styles at the bottom of the list. For example, if you put a lot of points into Two-handed Swords, you may also want to raise your Proficiency in Two-handed Weapon Style.
If you are playing a Thief, a Monk or a Bard, you'll also have to distribute Thief points here. If you are playing the party's Thief, I recommend that you prioritize Find Traps followed by Open Locks as the most important Thief abilities. After that, it is a roleplaying decision but I prefer raising Set Traps and Hide in Shadows next, so you can set traps for your enemies and hide in the shadows to scout ahead and backstab.
If you are playing a Mage or a Bard, you will also have to pick some spells that you know from the start. My advice is to pick a sound combination of offensive and defensive spells. For example, for first level spells pick Armor for self-protection and Magic Missile as a good attack spell. Avoid spells you will only use rarely, like Find Familiar. To get yourself a Familiar, find or buy a Find Familiar scroll and use it to cast the spell.This is purely a roleplaying decision. Choose a hair color, skin color, and colors for major and minor clothing to suit your fancy. Then pick a voice for your character.
Finally, pick a name. Another pure roleplaying decision, so pick any name that suits your character. There is, to my knowledge, only one situation in the game where your name has any influence on the game.