The only difference is the experience. You get some experience with the class if you play it all the way to transcendent. On the other hand, you'll eventually get that experience with the class later anyways, only better since it has new skills and things. But it might help with figuring out where/how to level, etc. - except that you can do harder places at lower levels (this out of the experience of my Lord Knight, which does places at level 76 which it could not have done there as a knight).
On the other hand, if you have the right gears, it will be faster (and you can make money, depending on the class) to start all your characters as one class, then transcend to the other. Of course, depending on the class this might mean you won't have the gears you need for the class it will be, but if you're making money you can buy those later anyways.