I guess I could sign off on the PS1 Origins (I & II) bundle. They look and run really great in the new style and I heard there's a hard mode, which it certainly needed judging by the GBA port.

I also recommend FFV for PS1, so you can grab that on your PS3 from the PlayStation Store. Don't bother with FFVI on there, the load times are atrocious.

Unless you want to play a translated ROM of an NES game, you'll eventually need a Nintendo DS for FFIII.

FFIV I like on the GBA more than PlayStation or Super Nintendo and although I haven't seen it in person, the DS remake is something I just want to stay away from.

Final Fantasy Tactics is an incredible game. I would recommend the PSOne Classic over the PSP remake but either way, you have a very special gaming experience waiting for you.

But, like the others in this thread, I would go with FFIX right now. It's $10. Download.