I hit 65 and main-tanked an instance for the first time. It was just Slave Pens in Coilfang Reservoir, nothing special, but it was a pretty interesting experience. I got to put a lot of theorycrafting to the test.
The group was me (65 paladin), 2 warlocks (a 67 and a 62), a 64 mage and a 64 priest. Decent group, everyone knew their stuff and played well.
Keep in mind that I am fully Protection spec, and that's how I'm looking at this run.
First off, holding aggro was not a problem at all. Between Avenger's Shield, Holy Shield, Consecration and Seal of Vengeance, I easily held the attention of all the mobs in a groups. The only time I had issues is cases where a mob bypassed me entirely and ran after someone. Even then taunting with Righteous Defence took care of most problems. As well, Avenger's Shield is very good. Pulling with AS and having the mage sheep a dazed mob is so much easier and cleaner than the mage pulling by casting sheep. And when the sheep is broken, the mob comes straight for me.
Where the problem lies is damage mitigation. I think I was much squishier than a warrior would have been, and my health level seemed to be much more unstable than normal for the main tank, especially in the last two boss fights. Of course, we didn't have a secondary healer, and every group I've been in other than this one has had at least one secondary healer--me--to smooth out the healing.
In fact, during the last two boss fights, I was casting heals on myself half the time. It seemed to be necessary to keep myself up.
We completed the entire instance, with only one wipe at the final boss. I didn't get any loot, but I haven't gotten loot in a TBC instance yet.
My conclusion for paladin tanking so far is that I need to concentrate less on threat generation and more on damage mitigation. One thing that I have noticed is that quests which have warrior tanking gear as rewards rarely have paladin gear as well. It would probably be worthwhile to save up some of those warrior pieces for the next time I have to tank.