The actual list is:

FFI (FF Origins)
FFII (FF Origins)
FFIV (a.k.a. FFII on Super Nintendo, FF Chronicles)
FFV (FF Anthologies)
FFVI (a.k.a. FFIII on Super Nintendo, FF Anthologies)
FFVII
FFVIII
FFIX

Or you could just play Xenogears and get FF later.

I started with IV (II) myself, it got me hooked.