One big thing is that when you are levelling battle classes below your highest levelled one, you get a very massive EXP bonus - +100%, to be specific (Or +50% for the 50-60 stretch).

That said, experiment with classes as you desire! One of the biggest advantages to testing out other classes for a couple levels is that you are able to cross-class certain actions from other jobs, giving you a couple extra actions you'll be able to use on your main one - some of which can be very valueable!

Depending on which class you decide on as a main, there's also one class you will absolutely want to level to 15 as well to meet the prerequisite for the Job unlock when the time comes (level 30).

Either way, XIV lets you go at your own pace. Feel free to focus on one job all the way to 60 (making sure to get your Job though all the same!), or level up a bunch, or whatever.