Don't forget 6.

Download the ROM for FF6. If I were you I'd do it in this order:

FFVII (just to get it out of the way before Advent Children comes out)
FFI
FFII
FFIII
FF Mystic Quest
FFIV
FFV
FFVI
FFIX
FFX

Just rent FFX-2 to try it, and see what you think. IMO the game is complete crap, a disgrace to the FF series. FFX however is great.