I went with P3 though I quit it midway through. It wasn't for the art direction or villains though, it was because the dungeon crawling and daily activities got too repetitive. Somehow I found it a ton better in P4 and P5. Anyway, I can't remember who the villain of P3 was but then again I can't name a single FFXIV villain. So it comes down to art direction. I do really like the Persona art style, with the very vivid and expressive 2D avatars, which won it in the end. For FFXIV, I feel it was copying a lot from FFXI and although I love FFXI's style, I wished FFXIV did more to distinguish itself.