One of my favourite FMVs is at the start of FF2 origins - the way Leon and Firion take down those Empire soldiers... so cool.

FFIV-VI re-releases didn't really have any special FMVS.

VII had the classic Sephiroth through the fire.

VIII had Seifer and Squall's gunblade battle at the start.

IX's special FMV was Odin vs Cleyra

X was definately the Blitzball opening sequence, although the montage at the end FMV was cool.