At level 10 your character gets to select their first talent point. Each level from then on gives you another point. Talents provide boosts to your existing abilities or add in new ones and can play a very significant part in your overall development.
Each character class has three skill trees to select from. In general it is best to concentrate in one particular tree rather than selecting from all of them. As you reach the highest levels in the game you may be able to open up a second tree.
There are heaps of websites that give suggested talent builds for max-level characters. There are also some that tell you where to pick talents as you level. Everyone seems to have their own opinion as to what talents are best. Personally I look for the following when selecting talents for levelling:
A boost to main attack damage, hit, or critical rating.
Reduction in cost or speed of main attack.
Reduction in mana/energy/rage cost for commonly used abilities.
Increased health/mana regeneration
I also look for talents that increase movement speed early in the talent trees. I hate slow walking!
All of these help you to kill stuff more quickly, with less downtime between fights. This will mean that you can complete quests and level more quickly.