If this is your first time playing FFXI then be prepared to have a TON of content to do and explore, coming in fresh to the game you could easily spend a year leveling and doing everything currently available lol.
There is actually a ton of story to this game, you will do the most of your leveling in parties with 6 people grinding up on enemies in different locations, and as you get higher level it will give you access to more and more story missions and quests. The first story you will get yourself in to is your home nations missions, which vary greatly depending on which nation you choose, it doesnt matter which nation you choose but each nations story mostly involves the races that live there.
Bastok is the most technically advanced nation but due to over mining resources the land is pretty barren and the story involves hume and galka. Sandoria is all about the elvaans and is set more like a typical fantasy rpg with castles and kings and all that. Windurst's story is focused on mithras and tarutaru and has a lot involving magic and summoning magic.
Then after you start getting higher rank and higher level regardless of your home nation you get access to Rise of the Zilart and Chains of Promathia, both give you access to endgame areas where its possible with a good sized group to take down bosses that give you really nice gear.
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