As in real life, the jobs you choose will be very important during your long journey. Not only that, but the job market too--and Bravely Default has a pretty interesting market... Initially, your characters begin life as a budding Freelancer; however, as you defeat asterisk holders (bosses) you'll obtain their job asterisks and thus new jobs.
How To Change Jobs
You can instantly change a character's job by opening the main menu (press X, START or SELECT) and going to the Job option. Press Up or Down on the D-pad to scroll through the available jobs and press the A button to confirm you choice. Hey presto! You now have a funky new outfit and set of abilities!
Any character can be any job--provided you possess the corresponding job asterisk. However, a whole party of Monks probably isn't that great or interesting in the long run, so do try to vary your team a little! After changing jobs, be sure to re-evaluate your character's equipment and abilities, as their original setup may no longer be ideal.
Differences Between Jobs
A character's job affect their stat distribution; for instance, a Monk boasts high HP and Strength, while a Thief excels in Agility. Additionally, while a character can wield any weapon or armor in any job, their job determines the effectiveness of their equipment, shown as an alphabet rank from E to A (and the inevitable S).
The higher the rank, the higher the attack and defense of the weapon or armor. Having a White Mage swing an axe around is funny, but not very efficient... Later, you can acquire abilities that boost equipment ranks, but you still have to pay attention to the other stats. Furthermore, each job has its own set of abilities, which we'll discuss next.