My favorite is VIII (8). It was the first FF I ever played, so I suppose I'm a bit biased. Then again, I can put up with hours of tedious things like drawing magic and collecting every little thing. Hell, I went out of my way to kill X-ATM092 in the Dollet mission. @.@
It was a while before I played some other FFs. IX (9) came next for me, then some of the handhelds and then X (10) and the classic remakes. Only ones I haven't played are VII (7) and its friends ( you fanboys, leave me alone), VI (6) and anything numerically past X-2.
I've enjoyed all of them... Except FFT on the PS1. Then again, I suck at tactic games.. x3