Since you seem to enjoy the tanking class, I suggest to level up all and then check what's the most fun for you on Level 60. Order doesn't truly matter.
By the way, don't get the wrong impression - just because a bunch of people are talking poorly about the PLD right now, does not mean this class is not worth to level up. (By the way, this class gets a buff with Stormblood.)
I am a former WAR-Main who had to switch to PLD/DRK-Main a few months ago due to me switching from OT to MT. While my heart is still beating for WAR and I simply love to play this class, I cannot say anything bad about PLD/DRK.
People who say PLD is trash don't know how to properly utilize such a simple class, as easy as that. I tank anything in Sword Oath by the way, if I play PLD, including during low levels such from 30-50+. And in 24man-raids this class can be gold, if no healer wants to heal you AGAIN as MT, not even these from your own alliance. ( Unfortunately I see this way too often. )


I think the players replying to this topic before me pretty much already said it; WAR does by far the most damage right now, with DRK behind it and PLD last. However, PLD is also the easiest to play and DRK can be a bit annoying if you're doing it right.
PLD/DRK are MTs, WAR is OT. You should also take this under consideration when later choosing a main class.
But personally I also enjoy WAR the most - you can easily make up for at least one...not so good DD and can feast on the tears of your opponents. Really great feeling. Once you tasted the sweet smell of a Fellcleave-crit you don't want to miss it ever again.