Each vocation has a different amount of Capacity, Hitpoints, and Mana that is gained with each level, 45 points each level, and each vocation also has a different rate of Regeneration of Hitpoints and Mana. In addition to these, your vocation also determines the speed of advancement in certain skills:
The speed of advancement in fishing is equal for all vocations.
Your careful choice allows you to use vocation specific items like armors, weapons, wands/rods and also spellbooks. There are also other differences. You are advised to read the pages for each vocation before deciding which one will fit your playing style best.