I personally think VII did the best with Chocobos - there was a whole load of stuff to do with them as well as simply ride them you could breed and raise them, eventually getting different colored Chocobos if you did it right. IX came pretty close with its "Hot and Cold" and you could also "upgrade" your Chocobos. I think FFVIII was probably the worst, because without the Pocketstation there wasn't really that much you could do with Chocobos - they can't really take you anywhere you can't go.

The first FF didn't have Chocobos.