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Whoops, I reviewed the FFVII FMV where you are in the escape pod going back to earth. I think I saw the moon, but it might be another planet in the distance. Oh well. Who cares. KR's arguments are absolute. If religion is different (and it's the kind where they know what happens after you die), then that means they are in different universes.
And I agree with Burtuc. I've played a little of FF3, and I think it's like that one the most. I haven't gotten far, but the battle systems are a lot like each other. Plus, don't you go to another world in FF3? You don't do that in FF1, you just do a really simple Chrono Trigger.
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The only time you go to a different world in FFIII is for the final dungeon, which takes place in the World of Darkness. There are only a few rooms to it, and it's nothing like the world-hopping that takes place in FFV.