Personally, I like VII the best.
Probably because it was the first FF I played, and I get completely wrapped up in the whole story, the characters, everything!
I still remember the first time I got out of Midgar and thought "WTF? I've been playing there for like 6 hours, and there's a whole
world of this?"
Just the whole scope and scale of the thing astounded me!
I also really like VIII.
The junctioning system didn't prove all that popular I don't think, but I thought it was a fantastically delicate system, that allowed for a complete and thorough party customisation!
IX's pretty good too, I liked the return to the retro stylings of yore, and the story was once again brilliant. My favourite part of IX was the diverse range of characters involved in the storyline. Although Kuja always felt like a rehased attempt at Sephiroth for my liking!
Also, I'd just like to add a little something to this thread:
What do people think of the Final Fantasy movies?
The Spirits Within
Advent Children
Lost Order (or is it last? I forget)
With the exception of Spirits Within (which doesn't really feel like a Final Fantasy, although it is quite a good film), I think they add a real extra something to the Final Fantasy universe!
Sorry for the wall of text!

One of the advantages of horses that people sometimes point out, is that they very seldom explode. Almost never, in my experience, apart from that unfortunate occurence in the hot summer a few years ago.
Terry Pratchett - Jingo