As said before, it depends on the game. I tend to favor magic users, however

For example, in FFXIV I play mages/ranged because I like distance.
In FFIX, the physical attackers physically attack, magic users use magic attacks
In FFVII and FFXIII where any character can fill any role, they mostly physically attack is it's more hassle for them to go into magic which is ususally sub-optimal to hitting them with a large blunt object.