FFXI doesn't have server selection at all, except for world passes. I think FFXI should implement the same system they use on character creation for character transfers:
Basically, this is how it works now:
You begin making your character. Your friend is on Fenrir, and you want to play on his server. Now, you could try the luck of the draw, which is hard as hell, especially if he is on a populated server, or he can buy you a world pass.
World passes have no set price, but vary depending on the population of the server you are buying the pass for. The higher the population, the more gil it costs.
It would allow anyone to still change, but would make them think twice before doing so.