I'd have to say FFIV for nostalgic reasons. It has 2 of my very favorite characters (Cecil and Rydia), the music was memorable, and the difficulty was just right.

Second place is a tie between VI and III. III was the pioneer of the variable (yet definable, not the whole 'make your own class' system from II) job class system, which I loved, and VI was the only one, in my opinion, that broke the job class system and didn't suck for doing so.

I guess I have to give an honorable mention to X as well, since it was technically my 'first' Final Fantasy I completed. I'll admit that I wasn't crazy about the sphere grid system, but the gameplay was fun and it didn't have many boring parts that I dread when replaying games (there's always that part in a game where when replaying, you're all UGH I HAVE TO DO THIS AGAIN?! ).