It depends on what you're looking for.

Get FFOrigins if you want to play the first two games and see what all the fuss over them is about.

Get FFChronicles if you want one of the all time most beloved SNES RPGs packed with one of the all time most loved SNES FFs.

Get FFAnthology if you want V and VI, easily the pinnacle of the series in its 16-bit line.

Get FFIX if you want a modern style FF game with a rennaisance style setting.

Get FFX if you liked FFVII and VIII more than other FFs.

Get FFX-2 if you really really liked FFX.

Get FFXI if you want a MMORPG.

Or do what I did and buy whichever the store has pre-owned in non-greatest hits packaging