I would say that, just starting out, your best bet is going to be:
Take MNK to level 20. Do your subjob quest and your get your chocobo license.
Take WAR to 49. Use a great axe. WAR/MNK can tank just fine with a GAxe.
Take BLM to L17. Get Warp.
Take WHM to L37. Get the 3 main teleports (Dem, Holla, Mea).
Once you have all that done, go and unlock any advanced jobs you want. Having access to a higher-level damage dealer will make a lot of everyday activities easier, and having WHM37/BLM17 makes getting around a lot faster.
As far as subs for PLD go, you'll want to have:
WAR: Pretty much mandatory early on, and it has its uses at higher levels.
DNC: As mentioned above, it's not that great for a full party, but in small groups or solo it's hard to beat.
NIN: Useful for tanking tougher stuff, but it's a bit more challenging and gear-intensive to do well at.
There are a bunch of others you can find a use for if you try hard enough. I've used RDM, WHM, BLM, SCH, BLU, RNG, THF, SAM, and BRD. None of those are something you are likely to need, but they can be handy or fun to have available.