Julian can be picked up in Loanne Castle before you go off to fight Byunei, the Wind Abyss Guardian. If your main character is Mikhail, you can pick Julian up at any time then. For Monica, the only way to keep Julian is to not talk to Mikhail after you are rescued from the cave. Instead, talk to Julian, and you will avoid the shipwreck scene which would normally cause you to lose Monica. I'm not sure if this impacts the game in any other way then keeping her, though.
Julian is a very well rounded character that can do equally well in both physical and magical attacks. If you're new to the game it might be best to choose Julian to get a good feel for the basics.
Note: Julian is unable to trigger the Thieves's Hideout scenario properly. Instead of there being thieves in the trade routes, there are monsters. I'm not sure if there's another condition he must meet first or not. I do believe that it is related to the number of random battles you encounter, though. Julian and Monica have longer intros than all the other characters which could explain why they are unable to reach the Hideout properly. I'll post any updates to this situation in the future.