I've experimented a bit with parties, and so far my favorite is Warrior, Thief, White Mage and Black Mage. In that party, you have three heavy hitters and one support character, which works out well.

I tried Red Mage, I just can't stick with them for very long...they tend to get really crappy HP and MP growth for me. The Monk has a similar problem, but with a white mage on the team who heals the Monk all the time, I find that it works decently, and the monk does do pretty good damage.