The weapons are all very unique and have certain advantages and weaknesses. Guns ignore defense. Bombs, Axes, and Hammers all do random damage (anywhere from 100 to 9999). Katana's and Poles multi hit. Ninja weapons are Dark element... ect...

Find the weapon that fits your play style, but don't be afraid to experiment. Despite what No-Mercy feels, there are some good Techs in the game beside Steal, Libra, and Charge. Experiment and have fun.

I think the best thing you can do, is try to go into the game with an idea of how you want each character to be. One of the few problems with XII is that the Liscence board makes it easy to make clones of everyone except for slight stat differences, especially since most people I talk to who play stick to what works and never alter. Decide now who should be your thief, or warrior, or white mage. The game allows you to recreate most of the standard job classes in the series so have fun with them.

Do the Mark Hunts. If you really want to see why the ADB system and Gambits are amazing, do the Mark Hunts as soon as they appear and stay consistent. They are all like mini-boss fights and many require complex strategies to take down. They also reward you with damn good equipment so they are easily worth it.

Explore and talk to everyone... Half the game is just exploring Ivalice. If you just stick to the story and ignore the clan hunts and make beelines to where you need to go next, you will seriously miss 50% of the game. Its also one of the few games where I really felt the NPC were relevant. You will actually pick up so much more info of the characters and story by talking to the people who live in this world. Just remember to stop and look around every once in awhile.