DPSing, in general, requires less of a learning curve than tanking.
Healing's a lot easier in FFXIV than in many other MMO's (notably FFXI), so FFXIV's hardest role is tanking, at least imo.

One of the most important things to know, whether you're a tank or a dps, is how to assist, and in the same vein, how to pick targets and consolidate damage. I thought I would mention it because I've experienced a lot of bad dungeon parties lately where the dps don't assist and it was just much less efficient and more chaotic than it should have been.

FFXIV involves a lot of fighting groups of mobs. Tanks can keep hate pretty easily on groups, but problems arise when everyone starts fighting different mobs. The ideal is to dps dump; fighting multiple enemies simultaneously makes fights take longer, makes the party take more damage, allows for more opportunities for smurf-ups. There are situations where you will need to fight multiple mobs simultaneously, but in general you want to focus down one mob at a time.

Perhaps FFXIV is different than FFXI, but when I played FFXI the tank typically picked a target and the DPS all assisted the tank. You can keybind assist target, or you can make a macro for specific assist actions. Basically, assist makes you target the target of your target. Ok, that's terrible, let's break it down.

Say I'm a tank and you're a lancer. I pull three bats. I decide to fight bat A first. You can target me, hit assist, and you'll automatically target bat A. There are other ways to facilitate mob kill order but in fast-paced dungeon runs, assisting is the easiest method that I've found. (Perhaps I should mention at this point that I've only been playing for a couple weeks, myself?)

Guildhests and dungeon runs have been the best xp for me so far. The mobs in dungeons give awesome xp per kill, and doing the roulettes give great bonus xp once per day (is that right?). Oh, and keep up with your hunts. That's some great easy xp if you keep up with it as you move from area to area.