Heeey, that's my Zonnie! I have a guide on the Palazon that I have been working on since I first made one shortly after 1.10 was released. My Season 1 Palazon, Serakwen reached level 96 and my current blade babe, Sera_Braveblade is 97. I am unable to finish the guide at present because I am working long hours until August, but I will tell you what I have learnt after over 18 months of playing this build.
MY GEAR:
70% Shael'd Kira.
Seraph's Hymn
Passion Cryptic Sword
Fortitude Balrog Skin
Stormshield with Pdiamond
Laying of Hands.
5% BK Ring.
Verdungo
Carrion Wind.
Goreriders
Annihilus
SWITCH: Gimmershreds/Medusa's Gaze
This is a PvM build and, as such, all gear is aimed at doing damage to demons/undead hence the LoH, Seraph and Scourge if you decide to use it instead. For armour, CoH should only be chosen if you decide to make a Shock Zealot and replace the Kira with Dream, otherwise there is simply no better choice than Fortitude, that said, CoH does increase your damage and D/A/E slightly with the +skills. If you cannot get Fortitude (because you're non-ladder for example) then +2 Valour or Duress are very good too.
There is no need for mana and therefore there is no mana leech with this build, this can get a little annoying when casting Decoy at lower levels but thats what potions are for until your base mana pool is big enough to replenish itself. At high levels the only time there is ever a mana issue is when fighting Immune to Physical mana burners such as Ghosts, you can only Berserk them for so long before they hit you and deplete your pool. In this situation take a few steps back and throw Gimmers at them. This is also advised when confronting Holy Freeze uniques which are your greatest enemy. While on the subject of Berserk, don't forget that this attack renders you immune to Iron Maiden. In fact, I would also go so far as to say that an Amazon is a better Berserker than a Barbarian, she seems to be faster for one thing but also, the only reason a Barbarian can Berserk is his high life whereas a Palazon relies on Dodge which renders 0% Defence meaningless. I have, on a number of occassions, used Berserk all the way through a Baal run without taking any damage at all (one good reason for this is that the right combination of Auras from your party members can give you a huge damage boost, I had a 6.6k Berserk recently)
Take a good look at the mods on Passion - every single mod is designed with the Amazon in mind. There is a small AR/Damage boost from your pathetic Heart of Wolverine on top of the AR from the weapon itself. AR/Damage to the Undead are invaluable, especially when in a scourge for an extra 50%. Hit Blinds Target is useful for Crowd Control but by far the most useful mod for this purpose is Hit Causes Monster to Flee - with some Open Wounds and a few hundred Poison Damage (from charms and the Carrion Vine granted by Carrion Wind (which is used for life leech and to max Poison Resist)) the monsters rarely return, especially if you throw some Gimmers into their backs as they run screaming.
SKILLS:
There are a couple of different routes you can go as far as skills are concerned, mainly Inner Sight or no Inner Sight. I use base Inner Sight, if you choose to max it (either max it or leave it at base, there is no in-between), you can skimp points from Evade. You can also put more points into CS but this will make you less resilient in the long run and is a bit wasteful as you can get a decent amount of DS from items to compliment your CS.
Inner Sight: 1
Critical Strike: 3-5
Slow Missiles: 1
Dodge: 20
Avoid: 20
Penetrate: 20
Decoy: 5
Evade: 20 (max last)
Valkyrie: 20
Pierce: 0-1
This build is not complete until level 99, but don't worry that's just a formality. This is also a build unsuited to being rushed, it serves no other purpose (mf, pvp etc) than playing the game and a Palazon can kill every single enemy you will ever meet. Unlike other builds where you should max something as soon as possible this is one where you should balance your skills as for most of the game. The first skill you should max, however, is Penetrate, but don't forsake your other skills in favour of it.
The best way to allocate skills as you level is to place 5 points in Dodge as soon as possible (use Den of Evil for Inner Sight and your levelling points in CS, but try and stay at lvl 3 CS, if you go to level 5 then take 2 points off Evade), then concentrate on raising your Avoid to a similar percent (rather than slvl). Once this is done you should already have started putting points in Penetrate. Between 24 and 30 you should put 2 points each in Decoy and Evade with the rest in Penetrate. Above level 30 place 1 point in D/A/E and 2 points in Valkyrie for every 3 points in Penetrate. Once Penetrate is maxed concentrate on Valk by putting 4 points in Valk for every 1 in D/A/E. You MUST have a level 5 Decoy, maxed Penetrate and Maxed Valk before you go to Hell. You are not using Decoy to boost your Valk but as an essential tool for fooling the enemy, it is especially necessary to cast a Decoy in areas heavily populated by ranged attackers as they can often interrupt your casting of Slow Missiles otherwise.
STATS:
STR: 200+
DEX: <175
VIT: Remainder
ENE: 0
The Palazon has no way to significantly increase damage through skills, the best way to do this is by increasing Strength, as an added bonus to this you can also choose any base armour for your runeword (although the heavier armours are ugly and Balrog Skin is the sexiest

).
Dexterity brings up the issue of the so-called bugs. It is better to consider these as peculiarities of the build (like the peculiar fact a Sorc can swing an axe faster than a Barb), rather than bugs. The first issue is the 'block bug'. It is important to remember what this is, as well as the reality of its effects. This is not, as some have claimed, a slow block rate but a slow block RECOVERY rate similar to hit recovery. The reality of this 'bug' is that the effects are negligible except in a pvp environment. The only cure for this is a less than maxed block, but never less than 65%. Even maxed block doesn't pose much problem (Serakwen had max block after I equipped Annihilus), but I prefer around 70% after Annihilus. The decreased Attack Recovery that lower Dexterity results in is fixed by AR charms (preferably Fine).
The other 'bug' has no relationship to Dexterity and can be annoying, but again this is to be thought of not as a 'bug' but a peculiarity of the build. This is Dodge lock. Actually Dodge lock is a bit misleading because (again except in a pvp environment) it is usually Avoid that causes the problem. D/A/E interrupts whatever you are doing which is why you need to cast Decoy in the vicinity of ranged attackers before you cast Slow Missiles. I have never had a problem with Dodge but Avoid is a bit of a nuisance unless you are practised. Thankfully, there is a cure and this is Fortitude. Once the Chilling Armour is triggered Avoid lock goes away entirely, this is so effective that Slow Missiles becomes a sometimes skill rather than an always one.
Remember also that the so-called 'Fend Bug' is a display bug only, a successful attack on you is supposed to interrupt your attack unless you are a Barbarian using Concentrate or are under the effects of Concentration aura. This is not the problem with Zeal that it is with Fend because the number of foes you attack with each Zeal is capped at 5.
MERCENARY:
This depends on how wealthy you are and whether you are ladder or not, but there are three choices for the base Merc. In no particular order these are Rogue, Blessed Aim and Might.
ROGUE
Whatever you choose to equip her with in terms of helm and armour (Fortitude is great if you can afford a second one) she must have Faith. Her Inner Sight effectively gives you an AR bonus and means you rarely have to cast it. The Fanaticism aura is a little disappointing in comparison to the Desert Guard Mercs but it will give you a damage and speed boost. Cold or Fire is up to you but remember that Fire does more damage while Cold slows monsters. Use a Rogue (and keep her alive) until you reach Nightmare Act 2. Overall the Rogue is not the best choice but she is still better than something like a Barbarian.
BLESSED AIM
This is a damn good merc to choose because his aura will fix all your AR concerns, but he will not be able to give you much damage, the only source of which is either Last Wish or Pride which also makes him the most expensive.
MIGHT
Overall the best choice for sheer damage output, equip him with Pride and your concerns about being interrupted are cured while giving a damage bonus of something in the realm of 500% from the combined auras.
As mentioned before, this is a build to be played not to be rushed to Baal. Throughtout the game you will find different tactics useful, depending on your level. A good example of this is before you have Passion. Sera_Braveblade wore ethereal Rattlecage throughout Hell (and on into almost 200 Baalruns before it broke) for the Crushing Blow and Hit Causes Monster to Flee (this was early in the ladder season so there were no better armours available had I wanted them). She used first a Hellplague and then a Hexfire, and briefly a Plague Bearer before she could use Passion. Hellplague is a fine sword for lower levels because of its decent poison damage, to use it effectively you have to act like a Daggermancer and hit each target once to infect them then move onto the next, it's Normal anyway so monsters life regeneration is non existent. Use your Decoy frequently, not just for ranged attackers, this is an invaluable skill that not only allows you to scout ahead but also to take the heat off during battle. Another thing to remember is that with D/A/E you are able to do things that some Sorcs fear to, such as running through a group of monsters to open a TP or draw them away from an entrance (like Claw Viper Temple lvl 2. I had a situation in Hell where the entrance to Claw Viper lvl 2 was blocked on level 1 by 4 Mummy's, a pack of unique Mummy's, all their associated skeletons, two packs of zombies and 1 pack of snakes and our sorcs body was on the far side. Our whole party was slaughtered several times until I was able to run through, naked, and open a tp on the sorc's corpse then go back through a different tp and cast Decoys to draw them away so she could get her corpse safely, great fun

Above all keep your merc alive!
I'm sure there's something I meant to say but forgot somewhere...