In this game you are really rewarded for not jumping around in jobs. Job levels really affect how powerful a class is, so pick the ones you want and stick with them.

If you want the best spear in the game you have to steal it from an optional boss, and that requires a lv79 or higher thief. It takes forever to build up a thief to that job level, so if you are interested you should basically just stick one character in that class for the whole game. Lances are only used by dragoons. (My favorite FF class, so I make sure to get it every time)

Many guides say that you should keep you monk/black belt unarmed. While this is true for the NES it isn't for the DS. I tested it myself by constantly comparing my monks armed/unarmed damage as I made my way though the game.