A dwarven Bhaalspawn makes for a surprisingly fitting run
On the surface, it doesn't seem like a dwarven Bhaalspawn would make sense for the player character. You start off in Candlekeep, a place of learning and mages. What good is a dwarf there? Your father is the God of Murder, something which doesn't traditionally scream 'dwarf.' And the majority of content deals with human and elven issues. So far, I'm not really making a case for this post. But...let's assume that you roll up a dwarven defender.
Baldur's Gate 1
Durlag's Tower. What is the theme of this? Well, Durlag Trollkiller, son of Bolhur Thunderaxe, was a Clanless dwarf. The game goes into great detail, which I'm sure we all know, of how he built his tower after a lifetime of adventuring, only for his friends and family to be replaced with dopplegangers. In BG1, your dwarf is just like him. A Clanless dwarf. After going through the tower and learning his story, you return to your home in Candlekeep and find yourself hit with the same tragedy. Winthrop, Dreppin, Arkanis...everyone you know...you find them replaced by dopplegangers. And just like Durlag before you, you are forced to fight through the halls of your home, slaying monsters who wear the faces of those closest to you. Only unlike Durlag, the experience does not break you. This story hits just so much harder when your character is a dwarf, because it ties it in even closer for the Bhaalspawn.
I'd also argue that it is worthwhile taking both Yeslick and Kagain with you. Two fellow dwarves, only of completely different viewpoints. From a RP point of view, it is great to have your dwarven Bhaalspawn be in such company.
Siege of Dragonspear
The Dwarves of Dumathoin quest is just about the only dwarven part of this expansion. But it is great to play as a dwarf, if for no other reason than because the reward works best on a dwarf and there are no dwarven companions you can have. From a story point of view, your dwarf has only experienced the tragedy of Durlag's Tower and Yeslick's Clan Mines. So, at this point, having seen both the good (Yeslick) and the bad (Kagain) of your people, you then get to save a dwarven religious expedition, stop a dwarven liche, and are rewarded with a holy artifact of a dwarven deity (all the while seeing another ruined settlement of your people). For a dwarf who grew up among humans, and has Bhaal as a father, this is nice step towards connecting with where you came from as a way of fighting against the dark urges of your tainted blood.
Baldur's gate 2
You've gotten your soul back! You are, at this point, one of the most powerful dwarves to have walked the realms. You are likely wielding Crom Faeyr, so you are taking down enemies with a dwarven artifact. You've probably been traveling with, or at least met, Korgan. Whose background of being an orphan of a war between dwarven clans doesn't exactly inspire confidence. But there is the question...what will you do when you are finished? Much like Bolthur Thunderaxe and Durlag Trollkiller, you have as much gold as a small nation, but what kith and kin do you have to spend it on? Will you end up like Korgan, bitter, alone and endlessly seeking out enough blood to drown your trauma?
Well, along comes Rasaad's quest, which takes you to the Deepstone Clanhold. It's a tough fight, to be sure, but you get to free the captured dwarves and save the hold. At least in my last playthrough, this felt like the perfect place for a former Bhaalspawn dwarf to settle down.
So, what does this leave you with? A dwarf whose journey begins with a dwarven tragedy that mirrors your own sorrows. Continues with seeing both the most noble and the most villainous aspects of your people. But assuming you turn down the curse of becoming Bhaal, you get a good ending. Living among the Deepstone Clan, having turned away from blood and murder to rebuild.
I thus found my dwarven defender run to be quite fitting, and wanted to share it.