My all time favourite is IX, for the style, the characters, the music, the story.
I also like V for the characters and the job system, VI for the atmosphere, the characters and the setting (I found it wonderful how the setting evolved as the game progressed)...
VII I loved the setting, but it's a bit stale now, and the translation was horrifically bad. I don't like the compilation because some of it kind of diminishes the few good points of the game, but Crisis Core is pretty fun until you overlevel (which is very easy to do).
I also liked X-2, just because of the great battle system.
Least favourites were VIII (crappy system, crappy characters) and XII (crappy system, dull drawn out gameplay, beige beige beige... Awesome Balthier and Basch just couldn't make up for it).
Getting Dissidia and Tactics PSP once I finish Crisis Core.