When building a character for Permadeath play there a few things to keep in mind.
1. Invest at least a few points in your constitution. I would recommend having at least 14 for your first character. That way most one shot critical hits won't kill you outright.
2. Unlike regular ddo more of your feats and action points should be spent on things to help you survive rather than super specializations. I know its fun to have a mega high damage fireball but toughness and diehard might serve you better.
3. If you have room for more than one Never Die character i recommend a character with some healing ability or rogue ability. This will help the guild and your guild mates. Of course, for your primary character play your best and favorite class!! One thing about permadeath is you need to build the strongest character possible.
4. Try and have a vision of where your character will go in their career when you make them. If you are going to multiclass make sure to invest in the statistics requried at the start. Also, if you plan on multiclassing rogue take rogue as your first level because you get more skill points that way.
5. If you are a caster choose spells that have multiple uses or that are always useful. Healing of course is always useful.. A spell like web is useful against many enemies and can help offensively by holding enemies in place or can help defensively by covering a caster's retreat.
Well, thats all I can think of tonight. If you have anything to add please send me a mail message.