It depends on the situation. There are 4 common subjobs for Corsairs:
-Ninja. You get to Dual Weild weapons that have ranged accuracy or ranged attack bonuses, and Utsusemi will protect you from incidental damage.
-White Mage. For players emphasizing the support roll of the job. Useful for Erase, debuff-removal spells, and the occasional Cure. MP pool is low, but you will get your own Evoker's Roll bonus.
-Ranger. Players that want to deal the largest amount of damage with their Ranged Attacks use this subjob. You are more likely to pull hate, and have fewer tools to protect yourself, but those big damage numbers are tempting.
-Bard. Adding more support to a support roll makes sense, and there are some group buffs that Corsairs can't do on their own, like Haste. You'll need a dedicated healer in the group, though, because you cannot support your party through Cures.