I played FF7 first. I liked it. Was not blown away like the rest of the world. I liked 8 more. Those were my first two, I got them on the same christmas.
I liked them both as a kid, I poured over 150 hours into FF7, not as much into 8 because I didn't know of a lot to do in 8.
But yeah, those are...actually not even close to my favorites. I didn't like 1 or 2, until they were remade on the GBA. Those are respectively, 3rd and 4th place.
I played 6, and loved it. The story is my favorite story so far. I really enjoyed FF6, I have much better memories with 6 than I do with 7 or 8, I enjoyed the characters much more.
But no, my favorite final fantasy was the 4th one I played. Final Fantasy 5. Hands down. My favorite FF game of all time. I loved the characters, the story was ..to some stupid, but I like to call it quirky. Either way it was endearing to me. The job system made the game a blast to play, over and over again.
So, no my first is definitely not my favorite. 7 is actually pretty low on my list. (it's a list of 8. I felt final fantasy has just gotten worse since.)