Final Fantasy IV is my all-time favorite, and it was the first in the series that I played. The DS remake is a bit of a disappointment, though, and seeing Cecil and Golbez in Dissidia makes me wish it'd been on the PSP instead.
Final Fantasy IX follows as my second favorite, purely because of it's tone and style.
Final Fantasy VII falls in behind that at third, and the main reason is that there's so much room for discussion, even all these years later.
Beyond that is FFXII, FFVI, FFX, FFVIII, FFII, FFI, and FFIII.
Final Fantasy Tactics is easily my favorite of the FFT-style games, FFTA and FFXIIRW are pretty sub-par, IMO, and I couldn't even bring myself to buy FFTA2.