The load times in FFVI in Anthologies are tolerable (if you got through Chrono Trigger on the PSX then you can get through FFVI on the PSX). If buying the SNES version is an option then go that route though since it will play faster, and the Anthology version is the same thing (there were few changes to the script at all. The only one I can think of is changing Vicks name to Biggs).

I've yet to play the GBA version, but honestly, I'm not sure I will any time soon. You may decide it's worth it for the bonus dungeon, but some of those charming things they changed as silentenigma mentioned are some of my favourite parts of the script. They even censored one scene, so if you want it in it's original, unadulterated form, go for one of the other two versions. I may get FFVIA someday to see how it is, but that'd be the only reason (heck, I already have two copies and a fan translated ROM. How many more times can I get this game?)