Ninjas were my favorite physical class to level up to, and Ramza is a ninja for a good portion of most of my games, though it is a milestone largely for a skill being unlocked (Two Swords). My first couple of playthroughs I really liked Samurai, but I've since grown away from them a bit. I never really cared for Oracles much.

Finally getting to Bard for Move +3 is a significant milestone as well. Stupid women and their lack of movement ability.

Oh, wait, I forgot my favorite milestone: (SPOILER)Kicking Algus's ass. Yeah, it happens early on, but it's very satisfying.