Interesting topic!! I think there's too many locales that impressed me so I would probably end up leaving some behind but... We shall try.
Final Fantasy - I think it would have to be either the Temple of Fiends or the Flying Fortress. I played the PSP version, which helps visualize.
Final Fantasy II - Pandaemonium IS quite freaky...
Final Fantasy III - I once again choose the last dungeon; World of Darkness. Both thematically and asthetically.
Final Fantasy IV - Things start getting tricky!! I'll choose the Moon for its concept. Going to the moon? That IS crazy!!
Final Fantasy V - I've always liked the man-made settings of FFV, for some reason. The Crystal temples always stood up, too.
Final Fantasy VI - Narshe is tremendously atmospheric. I love it! A classic starter for Final Fantasy.
Final Fantasy VII - Oh boy, there we go. I can't choose one. Pretty much the whole game is a memorable locale; Midgar with its gritty modern but run down setting, Kalm as one of the most amazing contrasts ever, the impressive Junon which again contrasts with Costa del Sol, Gold Saucer and Corel, Gongaga, Cosmo Canyon, Nibelheim, Rocket Town, Wutai, Icicle Inn, Mideel, the Northern Crater... This is a very special game for me and I'm sure I am touched by more things than I should. However, if I really had to choose one, it may be the Forgotten Capital. The music, the setting, the history the place has seen as well as the otherworldly aesthetics really set it apart.
Final Fantasy VIII - I like the game quite a bit and find a few rather memorable places. I'd highlight the Gardens in general. Balamb's of course is another FF classic but Galbadia's was always interesting. Thinking of the locales of this game is making me look forward to a possible remake of this. Could be interesting...
Final Fantasy IX - Once again, too many places! The cities stand up individually in a way that makes them all great. Alexandria and Lindblum as the great kingdoms are completely different than Dali. And then you have Cleyra and Burmecia (I love, love, love, love those two. Particularly Burmecia is one of my favourite FF locales; the music seals it*). Madain Sari always had something, too, as well as Ipsen's Castle and Oeilvert. And let's not forget Iifa Tree!! However, if I have to choose one... it has to be Terra... or maybe Memoria?
Both for the otherworldly appearance they have, while still being realistic enough. Of course, both concepts are different. While Terra makes you think of another planet, Memoria makes you think of a dream. Fair enough!
Final Fantasy X - Throughout the years, I have gained a lot of admiration for the Asian, non-Japanese aesthetics of many places in this game. However, Zanarkand stands out in terms of atmosphere. Although to be fair, the whole game is a bit of an atmospheric journey, both literal and metaphorical. Starting in the middle of nowhere and then starting again, this time from a small town (Besaid) and going through all sorts of places. You can even feel the atmosphere becoming heavier as the game progresses. I think it shows how good the game is, in that sense. The locales you visit seem to enhance the feelings the story is giving you. And that works in its favour.
Final Fantasy XI - Sadly, I haven't played it!!
Final Fantasy XII - The first time I played it, I was left with a strange feeling. I enjoyed it but... something was off. It felt very different from previous Final Fantasy games, which is not necessarily a bad thing. I had to play it a second time to enjoy it properly! The problem I have with the game is a good problem to have; too many places! I like Balfonheim Port, out of the cities. But the ancient dungeons were all fantastic. They played the part very well.
Final Fantasy XIII: Difficult to choose one. The game has a problem of making very cool locations feel a bit forgettable sometimes. I quite liked the concept of Cocoon. And Orphan's Cradle was visually very appealing. And of course, Oerba.
Final Fantasy XIII-2: Academia was really cool, in all of its versions. Oerba, too, I loved. However, I have to choose the Dying World. It features one of the best sections in Final Fantasy in recent years.
LR: Final Fantasy XIII: Luxerion, without a doubt!! Although I quite liked all of the main locations.
Final Fantasy XIV - I only played the demo, but Gridania was quite nice. Mystical forest theme was well pulled off. I didn't see much more, which is a shame as I have a feeling I would really like Limsa Lominsa, from what I've seen.
* I often find myself listening to the Kingdom of Burmecia soundtrack when walking under the rain.