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FF IX, definately. It has the BEST storyline EVER. If you want to understand what Final Fantasy is, play IX, because it has the true spirit of the early Final Fantasies, and yet has good 3D graphics and awsome music. Yep, music and story are what make IX the best FF ever.
:save: Selena
I think it also depends on what kind of story you're looking for, you could make an argument for a number of them having the best one, i think it's more into what the individual enjoys better.
Final Fantasy IX for a Good Story
FFIX or FFVII. FFVI had a great one too. And just because cliches are awesome, FFIV.
You could start with IX, VI or X to know what is Final Fantasy, but you could also play Final Fantasy Tactics if you are able to bear an intricate story.