nothing really special, just roll one of every class and level up to 40 and then the real "grind" begins, just like any MMO. It may take 20 hours to level up to 40 and light level 200, but to reach light level 300 (the "goal" for most people) will take literally 100+ more hours. Just like any MMO its really optional, just play and have fun and don't really worry about your light level and optimizing too much, it happens over time naturally and every DLC sort of resets most things anyways.
Couple specific tips: don't hoard gear while you level, just equip new better stuff and shard old stuff. Try to level all 3 classes, focus on one at a time but its more fun playing all 3 classes and seeing the variety than sticking to just one. There isn't anything you need to "save". PVP every now and then, even if you hate PVP its really fun in Destiny and win/loss and KDR mean absolutely nothing rewards wise. PVP is normalized so level difference means nothing outside of two specific PVP modes (trials and iron banner, both of which are off right now)
for people already at 40 who haven't picked up your swords: pick the sword type that is closely aligned to your damage dealing subclass. Titan should pick solar sword, hunter arc, and warlocks void. On the way to the exotic sword you need to do 500 pve kills with the element you picked. Doing void as a titan is horrible, i spend around 2 hours last night just killing hive over and over with void grenades (no void supers!), at least I got to catch up on TV shows. The 25 PVP kills I found pretty easy using 3v3 legacy rumble, and I am really shitty at PVP but in that mode less people seem to go grab the heavys.