In FFXI, Thief is very utilitarian job and a class you are able to play from the start and do not have to unlock to play. It is handy both as a main and as subjobs. It can be used effectively in full parties, small parties and solo play. The role of a Thief may be a lot different than you might think. For those that have not played you may think about stealing, Final Fantasy XI gold for those with little experience with Thief you may think damage dealing but Thief is more than the sum of its parts, it is about control. Thief gives you some nice options when facing down monsters that can really keep things humming in a group or give you the option to leave the situation in solo. Evasion and Agility is your friend and when others rely on heavy armor, you will really on speed and dodging incoming attacks.
But in fact, the Thief class has less to do with actual stealing and more to do with hate management. Early on, you may do some thievery against mobs in solo play to pick an odd item here and there but overall that is not your main purpose or even secondary. The thief has the ability to do some solid damage dealing and then place all the hate it just generated back on the appropriate tank. It works as both a damage dealer and support job through hate control. Thieves are known for their SATA, which is a combination of Sneak Attack and Trick Attack job abilities.
Thief has a decent selection of weapons and armor that are in the medium range spectrum. Your melee weapons selection will be hand to hand, daggers, swords, and clubs. Though your first instinct will be to go for that dagger in the beginning you are probably better of sticking with sword for higher damage output or hand to hand for more damage over time. Sub Warrior for swords or Monk for knuckles or claws. Daggers are very weak in the beginning and can frustrate the difficulty of getting through your lower levels.