For me, II was definitly the hardest. On top of requiring a ton of stat leveling, it rarely, if ever, holds your hand throughout the game. You have to figure out a lot of things for yourself which can sometimes be a pain.

But most of the FF games I've found "hard" are mainly because of the game mechanics. For example, even after playing FFVIII 3 or 4 times from the beginning I still can't figure out how the junction system works. I could never get into the original FF either simply because of some of the design flaws (e.g. missing attacks if the monster you targeted is dead). I can tolerate the remakes though which fix most of the design problems.

But the FF I find the most challenging based on actual... um... challenge... would be FFV. I swear, there were areas in that game where I thought it was completely hopeless and I would never beat the game, but through a lot of perseverance I conquered the game and got a great amount of satisfaction in doing so.