If not, give them a class you think fits their character/ability.

I only know of one villain who had a job class: Garland was a Knight. Technically, most villains would probably fall properly under a Mage class as that's typically the be-all of supreme power is having access to all and the most powerful of spells.
Obvioiusly, I'm thinking primarily of the end-game villains, as most others you'd face throughout the game typically have job classes when not straight-out monsters.