Basically, which Final Fantasy made you think "Wow those writers are crazy." Or something to that effect...
For me it's kind of a tie between VII and X.
VII because of (SPOILER)the whole Cloud/Zack thing, not to mention Sephiroth and his origins.
X because of (SPOILER)Dream Zanarkand/Real Zanarkand. The mechanics of the sent/unsent. Tidus and his, well, existence.
And what the the heck, I think VIII is a definite contender because of (SPOILER)the time compression and looping timeline of the whole friggin game. The R=U theory makes it crazy too, whether it's true or not (probably isn't), the fact that it was at all possible makes the story pretty crazy to me.