Paladins are Alliance-only. Dwarves and humans can be Paladins, nothing else. Orcs can be warriors, Shaman, warlocks, rogues, and hunters.
Don't play shaman for the damage. Shaman damage is good, but not good enough to be a reason for playing shaman. Mage, Rogue, and warrior (greatest to least) all do substantially more damage than a shaman. Overall a warlock can do more damage than a shaman as well if he's talented with managing monster aggro. Warlocks require more finesse because they're squishy caster types who can do a lot of damage, but not enough to blow monsters away; if they use their pets to tank, it requires them to tone down their damage a bit or they'll yank aggro. The pet does add its own DPS into the equation, though. Warlocks are easily the best at sustaining fairly high damage levels, however, and have less downtime than a shaman overall.
Final analysis? Shaman damage is not good enough to be the reason you play shaman. If you just want damage, then out of the three you listed, pick up the warlock. Being a shaman means you have to be a team player in groups, dropping totems and adding in heals to boost your party; you can't dump your mana for damage because shaman are secondary healers. Warlocks are a different case. You're there for damage and crowd control, you're expected to do that, so you can be more aggressive.
As for Paladin... don't choose that if you love to deal damage. Paladin is at or near the bottom of the list for damage output. Solid as a rock, difficult to kill, usable for backup healing and wipe recovery, but very poor damage.
Edit: /agree with LordZanon about going to WorldofWarcraft.com for more information. Most questions that you'll ask can be answered either there or in the FAQ in this forum. It would have answered your Paladin question before you needed to ask it.
Edited, Wed Oct 27 13:29:07 2004 by ChahDresh