Magicians
Go see Grendel the Really Old in Ellina (the forest) at the very top of the town.

Theives
Go see the Dark Lord in the basement of the Jazz Fusion Bar in Kerning City. You must be level 10 & have 25 dex.
Second Job Advancement
You must be level 30. With your 2nd job advancement. You may either choose to be a Bandit or an Assassin.

Warriors
Go see Dances with Balrog in Perion (desert region) in his teepee.