Why gil-selling (and gil-buying) is wrong, on several levels:
(1) Legality. Toonfinder already covered this. When you accept the End User License Agreement (ELUA) of this game, you're agreeing to a contract. Part of that contract stipulates that you don't sell gil. If the end user violates that contract, he or she is committing an illegal action.
(2) Economics. This was also covered by another poster. The repeated camping/farming of a NM creates a situation in which the price of an item is arbitrarily raised above equilibrium, to the benefit of a few producers and the detriment of the consumer. One can see this situation in the current Amemet prices. The Axis of Evil drives the price down, effectively shutting out all other competitors, and then subsequently set an exorbitant price on Amemet skins. Also, the mass farming for pure gil (thankfully less prevalant in FFXI, but still existing) introduces more currency into the market than is going out of circulation (via purchases from vendors, etc.), which causes inflation.
(3) The attitude gil sellers take towards others. The repeated MPK'ing and /help'ing on Amemet by the Axis of Evil is only one example. I've heard stories from both other servers and ours of repeated harassment, bullying, and abusive tactics by various gil sellers. Keep in mind that, if you buy gil, you are not only supporting the practice of gil selling, but also this type of behavior.
(4) Fairness issues. Rampant gil buying creates an atmosphere where the player who spends the most RL currency on a game is essentially "the best" in terms of his/her equipment. This practice disenfranchises legit players, who are forced to do the same or be left in the dust by the gil buyers. Thankfully, the situation has not yet reached this extent, as gil buyers are still in the minority, but if it continues it is but a slippery slope.
Also, there is the issue of whether legit players can compete with gil-buyers who camp certain mobs 24/7. This situation, in effect, creates a catch-22. The legit player cannot compete with the gil-sellers in the game, so the only way they can get the equipment they want is to buy gil from the very same people who shut them out.
I hope that anyone reading this thread who is indifferent to, or even for, gil-selling will change their mind after thinking the matter over. It's clearly wrong, after all.