FF1-6, (including 1j, 2j, 3j, 4j, 5j, 6j, and I think one Japanese playstation FF game), and FF9. I haven't played FF10, but I've seen a little bit of it.
My favorite in the bunch?
FF6, followed by FF4 (FF2 US). I have the Japanese version of FF2 and 3 (and a Famicom with 70+ games). Having a game as your favorite because it's the first one you've played isn't the best reason for liking a game.
Graphics aren't everything (FF6 might look "stupid" to some, but it was a brilliant use of Mode 7 for its' time). The big part is the storyline IMHO. FF7 was ok. FF8 was just plain boring, and you felt like you were being pushed through the game. There's also something about not being able to see the entire world in one gulp that I like.

(That's the problem with 3D -- too much visual freedom)
Also a note for FF11 - I'll never play that. Why? It's multiplayer, and you need a subscription. After awhile, it becomes more expensive than a normal game itself. What if you want to play it in 10 years? That server might not be around. Square might not be around. (you never know).