Day 2: Get a job
If you've played other Final Fantasy games, chances are you've run into the "job system." It's a classic - it lets you totally change your character's class and abilities. Even better, once you hit level 18 you can equip a "Support Job" to make your character kick even more ass, with a sackful of new abilites. In total, Final Fantasy XI sports 18 jobs, each more classic than the last.
Support Jobs operate at half the level of the main job, but can alter your game plan greatly. It's like this: a level 75 Black Mage can use the spells and abilities of the White Mage class up to 37. It's important not to get behind on your Support Job's level. Not only will you miss out on choice abilities, but other players who want to party for experience points won't invite you along.