Well, since I'm making a FF mod for Civ III (heh, heh), I guess I should probably weigh in....
Of course, just by looking at my avatar, one would come to the conclusion that FF VII is my favorite, and they'd be right. Cid Highwind, IMNSHO, is the best video game charachter EVER!! (Shut UP! You're gonna sit down in those chairs and drink your G-- D--- TEA!!!).
That said, I also have played VIII, IX, and X, and enjoyed them all as well.... VIII's main problem for me (and the reason why I hated it at first) was the rather steep learning curve for the junctioning system, especially after the user-friendly materia system in VII... Once I got the hang of it, not having to mug monsters for ethers (and then subsequently use said ether so your casters can heal the party of the damage they sustained in the mugging process) was rather nice.
My only beefs with IX was the fact that 1) in ATB mode, you wait forever and a day for your turn to come up, and after you input the charachters command, you gotta wait forever and another day for them to actually DO anything, by which time the monster has wiped your party out.... and beef #2) Not only are Ethers and Turbo Ethers more rare than the legendary philosopher's stone, but you can't buy them even if you had a billion Gil, meaning that your casters are useless after about 5 riounds of combat, and you end up spending all your money on tents....
X is easily my second-favorite in the series... I liked it almost as much as VII. I especially like how you can keep everyone's XP and level development on an even keel by their awesome "change charachters in mid-battle and as long as they did something they get full XP" system.