Bow and Gun/Xbow each have their advantages and disadvantages, but leveling both is essential. As a bit of advice, I would steer completely clear of any guns you might come across until your marksmanship is near capped at 90. As others mentioned, the delay is high, ammo is expensive, and it sucks to pull and skillup with. Crossbows on the other hand are great to skillup with, they're fast, have a large array of status effect bolts to use, and bolts are dirt cheap in comparison to bullets.
When choosing a bow/xbow, in most cases you want to pick the +1 versions. The reason being is the +1 versions usually have a heafty amount of ranged attack which is hard to come by in early levels, and the +1 versions are usually not very expensive anyways.
Ammunition is pretty much left to your discretion and pocketbook, its overall best to get something that gives you the best power for your buck allowing you to buy larger quantities. If your just skilling up however, just use cheap low level arrows and go easy on your coin-purse.
You have a much larger array of endgame bows, guns, and Xbows since abyssea came out. I think the general order of power for each is.
Bows:
Gandiva > Harrier +1 > Yoichinoyumi (lv90) > Vision bow > Murti Bow > Siege Bow > Vali's/Eurytos' Bow
Crossbows:
Gastraphetes (85) > Virtus Crossbow > Othinus' Bow
Guns:
Armageddon > Bedlam +2 > Annihilator (90) > Exequy Gun
You might come across a gun called Culverin/+1, while this is a good gun in it's own right it only uses Cannon/Heavy Shell ammunition. The drawback however is Shells are rare and expensive, additionally new releases of bullets beat Shells in power.

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