My first Final Fantasy was actually the first, but I was too young to understand what it was, so I don't count that one. Aside from that, my first Final Fantasy game was Final Fantasy VII, which also got me hooked on RPGs (unless you count The Legend Of Zelda as RPG, but I count it as mostly action).
However, it is not my favorite. It was for a while, and then I played Final Fantasy Tactics, which is now my favorite game of all time, and like Ayamaoko, it is my third Final Fantasy game to play (not counting FF1). After beating FFVII, I went to Final Fantasy VIII, and in the middle of that, I rented Final Fantasy Tactics.
After playing it, I searched and searched at the stores for, but couldn't find it. Then, Squaresoft (now known as Square Enix) re-released it as a 'Greatest Hit' game, and I immediately bought it for the $15 they priced it at.