Palafin's stats are middling, but after switching out once it will forme change into Palafin-H, which boasts the highest base Attack in the format, making it an effective wall breaker with Wave Crash, and a great revenge killer with Jet Punch.
Flip Turn: Flip Turn is perfect for letting Palafin do some chip damage and escaping before it transforms into the heroic Palafin-H! It's possible to drop if coverage is desperately needed, but forcing Palafin to switch and losing out on a useful pivot move is not the right call in most cases.
Ice Punch: Ice Punch is Palafin-H's best bet against Dragonite before it Terastallizes, and deals decent damage to Amoonguss.
Close Combat versus Drain Punch: Close Combat is good coverage, hitting Rotom-W for neutral damage and covering Baxcalibur, Iron Bundle, and Roaring Moon. While weaker, Drain Punch's lack of defensive stat drops makes sense for a better matchup against Focus Sash Chien-Pao and restoring a good amount of health against Iron Bundle before usually KOing it with Jet Punch.
Adamant versus Jolly: An Adamant nature increases the damage Wave Crash and Jet Punch inflict, making Palafin-H a more effective wall breaker and revenge killer. A Jolly nature enables Palafin-H to outspeed Jolly Mimikyu, Jolly Baxcalibur, and Jolly Annihilape.
Other Options
Grass Knot: Grass Knot lets Palafin-H potentially 2HKO physically defensive Dondozo, whose normally a good Palafin-H check. It doesn't cover anything else that's useful, with Azumarill and Rotom-W being fairly lightweight.
Tera Types
Tera Dependency - Low: Terastallization can make Palafin-H to an even more potent revenge killer and cleaner, but its not reliant on it.
Water: Tera Water makes Palafin-H a potent late-game cleaner, making it the Tera Type that makes sense for most teams.
Electric: If willing to give up on consistent coverage by using Tera Blast, Tera Electric Palafin-H deals a big amount of damage against common bulky Water-types like Azumarill, Dondozo, and Toxapex, in addition to saving Palafin-H from Iron Bundle's Freeze-Dry.
Grass: A Grass Tera type turns all of Palafin-H's weaknesses into resistances, giving it a favorable matchup against Rotom-W, and making it immune to Spore from Breloom, Amoonguss, and Brute Bonnet, and having a good Tera Blast against Azumarill and Dondozo. If using the niche Grass Knot, it consistently 2HKOs all but specially defensive Dondozo.
Items
Choice Band: Choice Band gives Palafin-H the most amount of wallbreaking and revenge killing power.
Assault Vest: Palafin-H's bulk is good enough to survive some powerful attacks with Assault Vest, such as Iron Bundle's Freeze-Dry, and it works well with bulkier EV spreads.
Mystic Water: If Choice Band is used by another teammate, Mystic Water is a great alternative thanks to most of Palafin-H's attacks being Water-type anyways.
Life Orb: Life Orb works well with revenge killing and makes the niche Grass Knot always 2HKO specially defensive Dondozo, but the severe compromise to Palafin-H's bulk, especially with Wave Crash recoil, makes it a lesser option.
Bulkier EV Spreads
140 HP / 252 Atk / 116 Spe with Adamant: This EV spread outspeeds Jolly Breloom, and lets Palafin-H survive Tera Flying Choice Band Tera Blast from Dragonite from full health.
252 HP / 236 Atk / 20 Spe with Adamant: This EV spread outspeeds Adamant Breloom, and survives Modest Choice Specs Flutter Mane's Moonblast after Stealth Rock damage. If surviving that isn't important or if using Assault Vest, feel free to swap the HP and Attack investments.
60 HP / 252 Atk / 4 Def / 12 SpD / 180 Spe with Jolly: This speedy Assault Vest spread outspeeds Jolly Annihilape, survives Jolly Life Orb Tera Dark Chien-Pao's Crunch from full health, and survives Modest Choice Specs Tera Fairy Flutter Mane's Moonblast after Stealth Rock damage.