I have played and beaten most of them. My favorite is Final Fantasy 7, ever since I played the game when I was young and I always liked Cloud's character, once I got to really get into the story since I was very young at the time and I got to really feel how the character does. Being helpless and powerless against a powerful enemies. He in turn became powerful to protect the world from its death.
It also made me overjoyed when I saw advent children from a employee of my father's that enjoyed the show as well.
Whats your favorite final fantasy? I ask of you brony folk, I wait a answer, so speak.