Talents & classes.

Class is what you chose when you first started your character.
Talents are those things you get at level 10, and define what role you will take in your class.  Once you hit level 10 - there will be a new talent option on the bottom left toolbar - with a default hotkey of 'N'.
Depending on your Class and Talents you have chosen, you are specifying your primary role.  But what roles are there, and what talents should you take?
The primary roles are:

• DPS - damage per second.  All classes can do this.  Your job is to do damage.  If the majority of your spells/abilities have a large range, chances are you should be fighting at range.  Conversely, if the majority of your spells/abilities are 'melee', fight up close and personal.  If you are a shaman (my latest alt) - seek professional advice.  For DPS, talents and equipment that offer a straight damage improvement are often better.
  
• Tank.  Your job is to go up to the nearest bad thing, and yell in their face "Na Na - You cant hurt me".  You will generally be doing this when grouped with others.  Your duties are to keep the attention of 'hostiles' on you, and to remain standing while you have that attention.  Your most important job is to keep the attention away from your healer.  For a tank, talents and eqiupment that improve the 'threat', and improve your survivability are most important.
• Healer.  Your job is to keep - in order - your tank, yourself and then your group alive.  Please note that dying makes it harder - but not impossible - to keep people alive.  Take talents and equpment that reduce mana consumption, make healing spells faster or better, or give new healing abilities.

Just a note about the above: I play on a PVE (player versus environment) realm.  If you are playing on a PVP (player versus player) realm, I beleive that the talents that slow others, make yourself faster, burn mana, reflect spells etc. should also be considered.  If you are a PVP realm expert, please leave a comment.

While questing, you will often be questing by yourself.  This is convenient, and can be an efficent use of time.   The DPS role can be quickest, but not taking much damage by being a tank, or just healing yourself faster than you get damaged can also be a lot of fun

However, especailly with the new dungeon finder (from level 15), and Dual Talent Specialisation (from level 40), you may find that running dungeons - especially as either Tank or Healer, may be a very quick way of levelling.  Also, be aware that you can and should do more than just your primary role.  You might have some healing, tanking, crowd control abilities that make the difference.