My favorite of all time has to be FFVII's Sector 7 beginner's hall. Aside from IX's help section, this is the only one I really remember. The reason it is my favorite though is simply due to it making me laugh a lot when I played through it. Such lines as "Finger!? The hell!?" or "Make sure you look for something called Secret" with no other explanation made it pretty memorable. It was just a fun place.