FFIX is my pick. Only game to fully realize the medievil setting from the old FF titles.
I also liked FFVII but its a little all over the place. Midgar is one of the most inspired places in all of the FF games and I really would have liked to have seen more places like that throughout the game. Instead we get Tudor style towns like Nibelheim and modern looking places like Costa Del Sol. I would have liked to have seen more consistency as the game went along.