First one I played was VIII (huh...Ultimecia?..wtf!), then picked up VII (Aeris died, so what...never used her anyway), then continued with IX. So far the PSX era.
Started with X but never finished it myself (saw my friends play and finish it though). Btw, Tidus annoyed the crap out of me (not as much as XII's Vaan though). Invested around 50 hours into XII but never finished it. Never really mastered the Gambit system....but I did master the art of pressing the X button to attack.
So...out of the ones I played...*drums* the gold medal goes to IX. Yes... it's "kiddy" and Zidane in a way resembles Tidus (I guess it's the other way around..) but nevertheless...in terms of the overal experience it's my favorite. Nice story, nice battlesystem, not too shabby characters (Vivi being most memorable).