Welcome to Eorzea!

If you've just started in the game, don't worry too much about trying to find a 'favourite' class - just level your starting class to 10, which is when you can unlock the Armoury System fully which allows you to change class at will.

If PGL is your starting class, then that's probably the closest to a 'rogue' type class in the game currently so I'd recommend to stick with that for now, especially if it's a type of class you enjoyed in other games. PGL are pure damage dealers though and hence, they're very powerful and, more importantly, have some very useful abilities you can use with other classes later in case you do decide to change. But really, it's up to you.