There really is no wrong way to play this game but like many have mentioned, its radically different than previous installments, less hand holding and more player initiative. I'll offer some new tips that haven't been stressed.

I agree that you should go into a game knowing what you want to do with your party, the License Board gives all you need to build most of the FF job classes. One thing to keep in mind is that weapons and armor change how your character works. 1-Handed Swords are balanced, Guns are slow but ignore defense, Staves (staffs) increase the magical output of certain elements, Samurai Swords have higher chances for multi-hit and so on. Experiment and find what works for you.

Armor is separated into 3 groups: Heavy, Light, Mystical

Heavy increases Defense and certain Physical stats (Strength, Agility), Light increases HP and Mystical increases Magic stats as well as offering bonuses like "Absorb Holy" You definetly want to play around with armors and use what works best for you.

We know Curative magick is important but the two I cannot stress getting is Buffers and Status Ailment type spells. Haste, Protect and Bubble are your best friends and unlike previous installments of the series, status inflicting spells are generally more useful than offensive magick. Blind, Sap, Slow, and Berserk are sometimes more deadly to the enemy than a Flare or Holy spell.

The main thing I want to stress when playing this game is this... EXPLORE!!!. If you play for only the story you will miss out on 2/3 of the game. Ivalice is huge and the plot will not take you to all the places it has. Entire villages, cities, and dungeons are optional areas that the main story will not force you to go. You have a greater level of freedom than previous games.

I also recommend stopping and doing the Clan Hunts as soon as they appear. Mostly cause you will find that searching for them will reduce the need to stop later and grind for EXP and Gil. You also get some pretty damn good loot for finishing them. Course if you are here for story only, you may want to be lenient in this regard. The game has a few pacing issues and if you do too many of the side quests (which open up incredibly early and has many), you will find yourself going to the next story point and forgetting why you are there in the first place...