First Final Fantasy that I played was FFTA. It was the only one I could get at that moment (I only had a GBA). I had heard about FF before from a friend who had FF X (first time I heard of it).

Then I started emulating, had a blast with FF II US and went further until I had played every FF from I till IX. (III till IX all emulated, but hey, when you don't have anything but a GBA, you have to help yourself. And I did pay for my copies of FF VII, VIII and IX <_< )