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Couldn't say. I haven't been on Gilgamesh, and a lot of the folks I RP with are on Balmung, so I'm a little biased. 
Ultimately, I say feel around on Gilgamesh first since you have the character there. See if you can find some RP you enjoy there. If you don't, then see about sneaking over an alt to get a feel for Balmung before hopping over. That way Gilgamesh gets a chance to have some more RPers join their numbers, and you don't spend cash unnecessarily for the transfer.

Ultimately, I say feel around on Gilgamesh first since you have the character there. See if you can find some RP you enjoy there. If you don't, then see about sneaking over an alt to get a feel for Balmung before hopping over. That way Gilgamesh gets a chance to have some more RPers join their numbers, and you don't spend cash unnecessarily for the transfer.