For levelling I'd definately say shadow is the most enjoyable(except for the few brackets where you have mana issues), because you can just pull lots of mobs and DoT them up.
At 85 I've not really played my paladin/priest, but with some more gear I think shadow would be really fun to play(right now I can't actually multiDoT on my spriest because the gear is so bad, and I have so little mana). If you like big numbers/huge burst, go with the ret pally. Can't really say much about PvP apart from a few BGs on my paladin. In PvE gear a ret pally can burst for a ton, but also dies really fast, quite similar to an arcane mage.