besides what everyone else said, after your level ten class quest you unlock the ability to try other classes. In Ul'dah (gladiator starting city) you also have Puglist(monk) and Thaumaturge (black mage). Reason I pointed this out, is because the first time I tried GLD it was slow/unfun while I began to like it the second time I picked it up. Trying out other classes could also be helpful.
At 15, you have a series of Main Story Quests. One will allow you to use the airship, giving you the ability to go to Gridania or Limsa. Another will unlock the first dungeon to run. The other cities have other jobs you can try or might need.
If you continue Gladiator to 30, you can become a paladin (its job) by leveling conjurer to 15 (to unlock, or up to 34 for the best cross class skill) Paladin can also take some abilities from marauder (last cross ability is at level 26)
if you decide to change servers, if leviathan is available message me in game; I'll give you an invite to my Free Company.