Definitely XII (or Ivalice in general if you will). It is the most fully realized world in a FF game with a varied and rich culture that is reflected in every detail of it's people and locations. The way things work in the game also actually make sense and seem plausible (placement of cities and other locations, politics, commerce, travel, etc). It is also a world where the story of the game takes place in as opposed to it being built for the story as it seems with most FF games.