To me, I generally take the term "Final Fantasy" as literal. These games represent the end of an era for these worlds. If you don't count the sequels, an ignore the possibility that a few of them "might" be connected. Then you can see that each game is the last epic tale for these worlds. The Lunarians departing (FFIV), the destruction of the the crystals (FFV and FFIX), magic being extinguished forever (FFVI), Meteor and Holy's battle (FFVII), Time Compression (FFVIII), The bringing of the Eternal Calm (FFX) and even FFI (SPOILER)The heroes are forever in a time loop battling Chaos.

So to me, FF is all about the last great stories these worlds have to offer. I also have an odd obsession with moogles...