rt
I was gonna say IX - and will still say some nice things about it - but it's actually a great point that the actual "gameplay" aspect of it interrupts both the regular gameplay and the story-telling going on around in.
However, the consequences of successfully stealing in IX were very nice. Great items accessed early and Zidane's 9999 potential being tied to it were great.
XII is probably my favourite that I can recall, largely because there's always some kind of use for anything and also it's so easy to program in to the general cadence of gameplay with the Gambit system that it never felt burdensome or counterproductive to use.