I've got 3 Paladins, all of them alts. Retribution has been easiest to find spots to solo-grind levels, no more or less boring than any other class grinding in the same manner. However, the short duration (30 seconds) of the seals, and keeping tabs on your judgements and when to use 'em is so annoyingly busy.
Healadin is neat, if you like PvP and are good at switching targets. I wouldn't recommend leveling as Holy, but you can pull it off once you get to Outlands much easier (itemization).
Protection is my all-around favorite though it is very gear-dependant. Much like a warrior in that regard, you need the right tools. I go Reactive damage and lots of block, pull about 7 or 8 things (non-elite) and literally wait for them to die. Aura of Ret, BoSanctuary, Shields, Rings, and Trinkets that damage your attackers, Holy Shield, Consecrate, etc. It's very very boring, but one of the fastest leveling toons I've ever made (assuming you can afford the gear) and still a strong tank for groups!
.. but yea, compared to Druids, Hunters, Mages, Rogues, Shamans, Warriors, and Warlocks I think Paladins are quite boring. They are slightly more fun than a Priest. Slightly.