I think FFXI totally changed since you experienced it and FFXIV is pretty different from the XI anyway.
In FFXIV you dont really have to know what kind of job you want when creating you character because you will probably end up testing them all. It's pretty quick to get a job to the maximum level anyway so you might end up with several jobs at lvl 50 after few monthes of play.
You actually HAVE TO level different jobs because you can use abilities obtained from others jobs and some are pretty useful (you cant use ALL abilities from other jobs though). It's pretty much like the "subjob" concept of FFXI except here you can use abilities from all jobs, not just 1 (if you have unlocked them and if they are usable by your current job).
About magic dps I'd say the thaumaturge and its advanced version, the black mage seems pretty powerful but I mostly played melee jobs so I'm not an expert. But since you can totally level solo, you dont need to bother and have the "most wanted" job. There are still some xp parties, but the game is pretty easy when it comes to leveling so I think any job will do.
I'd say melee jobs are more fun to play than magic jobs... but since there are only 2 magic jobs right now... I dont think we can really compare.
I'd advise you to just go for Marauder and its advanced version, the warrior, which seems pretty powerful right now and really usable for lots of situations (tanking and dps). As usual with SE, the "tanking" jobs are actually pretty broken in terms of enmity and it's just a pain in the ass to keep hate as a gladiator or paladin, because in the end, damage dealing seems to be the best source of enmity, so as usual, jobs designed for tanking end up being bad for tanking... and since they do less damage than other melee job... you're just screwed...
So except if you're all for the "sword and shield" look (like me) I'd advise you to avoid gladiator. As a melee you just want to make damage. So just pick one you like and go !
Again, you can really easily reach level 10 with all melee jobs, probably in the same day, so just try them ! But also take a look at their abilities and jobs traits to see which one will most suit your playing style. Some jobs can seem boring at the beginning but end up being pretty fun !