What is the purpose of the three continents?

[kcheese]

Variety and to spread people out, although it's failing in the latter purpose. It's clear the game would be boring if there was only one city or the cities weren't so different in culture and design.

Every city has different sidequests, but all 3 main scenario quests send you to Ul'dah at level 20. Every region around a city has levequest camps and roaming enemies of any level you could want, so for leveling it doesn't technically matter. However, Ul'dah is where players most often hang out, so if you're looking to find a party for leveling, a linkshell, or anything, go there.

Travelling between the cities themselves is easy, just go to the airship dock and buy a ticket. You'll then enter the loading area and automatically board the next airship that arrives. After a loading and unloading cutscene, you'll be in your destination city's airship dock. To leave the boarding area, talk to the NPC on the right-hand side of the exit gates. For the locations of the docks, look at the airship section on this page. That page also has information on all the various modes of travel.

Hope that helps!

Thanks everyone for the answers

This is the most detailed explanation, thanks