My absolute favourite was IX. Everything about it was just right.
I liked IV, but the game not letting me choose party members, and killing off characters and ridiculously reviving them just to fit your team dragged the whole thing down for me. It also had a very linear levelling system that you had no control over. Of all the FF games I've played, this one felt the second most like it was on rails, only XIII has trumped it in that regard.
In V the story fails to grab me. The only one (apart from XIII) that I've played that I've never completed. I really like the job system though. It's a grinding freak's dream.
In VI I thought the whole World of Ruin was a tad disappointing. It didn't feel like a brave new post-apocalyptic world. All the towns, even the opera house, were still there. Fantastic game, great story! But after all the hype, the whole bit after the floating continent failed to impress me.
VII was my first, and I was completely obsessed by it back then. I still love it, but it's not the best. Feels a bit dated and clunky now, and grinding Materia takes for-fuckin'-ever! But it holds a special place in my heart.
I loved VIII, it was entrancing. I can see however why so many people dislike it. Because of the GF system, all your characters are completely interchangeable in combat (a problem shared with VII). The story was too convoluted and full of holes. But the music was some of the best in the series; the plot, though flawed, was fun to (try to) follow; and I loved the card game, it was a great way to get spells and items without drawing and grinding. It's the weird but charming little brother in the FF family. It gets less love than it deserves.
I hadn't been paying attention to gaming when completely unexpected I saw a commercial on TV for FFIX. I sold some games because I didn't have cash at hand, bought the new game, skipped school (and got away with it) and was blown away. It had everything that made any FF game good, and none of the bullshit. Everything felt right: the characters, the rpg system, the music, the world, the colours, the atmosphere, the story pacing, the characters. It was perfect. It was made with the intention to revisit the series' roots. I wish SE would try something like that again.
I didn't have PS2 so I missed X, X-2, XII (MMO's don't fucking count), or the countless spin-offs. I did pick up XIII on the cheap, and it's an FF game in name only. I respect (though wishing otherwise) the intention to go in a different direction. I respect the opinion of people who enjoy this game. But I hated it. Hated it with a passion. Idiotic battle system, retarded characters, linear and especially uninvolving as fuck. It's not just that I hate the game. No, the game clearly hates me too and therefore forbids me from playing it. It's clear that whoever produced this wants to make movies. I wanted to punch the game and everything and everyone in it. Truly one of the worst games in my possession.
TL;DR: FFIX fo' life.