Despite there being several posts about this kind of stuff, they're all either very vague or based off guesses rather than actual experience. Some threads don't even contain very useful information at all. Here is some information about all the jobs, in hopes that you might decide which one you like.

BEGINNER (mushoku)
The most basic job there is. You start out as this, so there's no need to go through any special measures to become one. You can choose any of the 6 jobs listed below, or you can raise a "Super Beginner" by not changing jobs and just leveling as a beginner.

You can do a series of quests to get to level 10 in about 10 minutes - a guide about this is on the forum. Those that pick Super Beginner need to have lots of patience - you won't get any usable weapons until about level 25, and you can't use the Bah Bah's Stick for quite some time. Super Beginners always wear costume sets and weapons that are for all classes (Fishing Rods, Bah Bah's Stick, Festival Fan, etc.).

WARRIOR (kenshi)
This class is basically a damage dealer. You'll mostly be using combos and occasionally some skills. Warriors can move pretty quickly and use Great Swords as their weapon. PvP-wise, they have the biggest advantage when skills are prohibited. Their defense is second to knights', but they can hold their own in battle and they're strong overall. They kill very easily past level 100. It's recommended that you follow the stats that armor requires, because it will boost your defense signigicantly.

KNIGHT  (kishi)
Knights are good tanks with high defense and great skill damage. However, their combos are weak. Their Cross Sword skill series make leveling a piece of cake. Past level 100, they're considered the fastest levelers due to the fact that they can tank powerful enemies and kill multiple monsters with AoE attacks.

MAGE (mahoushi)
These are your spell casters and ranged fighters. In terms of movement speed, they're generally the slowest when they aren't equipped with items that boost it. They do not combo and instead, spam skills with their high magic. You can take a pure INT build, a build combining INT/WIS (standard), or a build with INT/WIS/LUK (some take this for higher evade). Of the three builds you can have, pure INT is the strongest after level 63. INT/WIS/LUK is the weakest build.

Pure INT mages wear costume sets and/or G gears, as well as staffs that do not require wisdom. INT/WIS mages get only the amount of WIS they need to wear armor. No staffs require wisdom after the Nitras Staff. Mages use the elements of Fire and Ice - eventually, you'll be getting both of them. They also have self-buffs, such as Mana Shield (reduce damage to HP) and Staff Booster (increase movement speed).