Started with FF Tactics.
Favorite is FFIV.
But really, I've got a soft spot for many parts of the various FF games.
#1 had that "twist" at the beginning and the end that established a bit of the mind-bending philosophy that would become staple.
#2 had a pretty epic plot, really, and a lot of drama and death. I think it was mostly marred by a pretty annoying (and abuse-prone) advancement system.
#3 was awesome for the way the party discovered new worlds, dramatically expanding on the game every few hours until it spiralled into something HUGE.
#4 I'm partial to because of the strong themes and the sense of loss and redemption that happens with many of the characters.
#5 has that "new worlds new vistas" feel that 3 did pretty well, and the job system again, but I was a fan of a few of the characters (Faris's whole arc is very interesting)
#6 has that wonderfully expansive cast and the series' first really awesome villain.
#7 has another awesome villain and a certain famous death scene.
#8 does a surprisingly nice job with the "memory loss" and "time travel" mind screws.
#9 has another great cast of characters and a really evocative setting.
#10 is gloriously plotted.
#11 again, has a surprisingly strong back story....it just takes forever to get to it in typical MMO mode.
#12 makes me feel part of a living, breathing world more strongly than the ones before it. And even though Vaan wasn't supposed to be the main character, it lends to that feel very nicely: you're not a great character, you are observing great characters in action.