Holy Gems: Holy specced paladins will be focused on gems that increase their healing power. +healing is the best, but also look for gems that offer rappelz rupees mana/5 and intellect.

For red sockets look for Teardrop class gems, this is the strongest healing gem you can get so if you don't care about set bonuses you should consider getting nothing but these.

For yellow sockets you will want to consider a mixed gem like the luminous class. If you want a very crit heavy build though you should consider a Gleaming class gem or a Brilliant class gem if you are very low on intellect or a Mystic to increase your resilience.

For blue sockets look for Royal class gems for +healing and mana/5, Steady is a good option when PVPing.

Protection Gems: Protection specced paladins are focused on pure defensive stats. If you are serious about being a tank you will want to get pure +stamina gems.

For red sockets you may want to consider either subtle class gems for dodge, or Flashing gems for parry. If you are going to be taking on multiple mobs you should consider Subtle over Flashing.

For yellow sockets you should consider Thick class gems for extra defense. If you have reached the defense cap though look for something else like a Ridged gem for hit rating or Enduring gem for defense/stamina.

Blue sockets should always be filled with Solid gems. In fact, you should probably fill all of your slots with Solid gems regardless of set bonuses if you are going to tank.