FFI is great. I particularly enjoy the recent remake on the GBA.
FFII (the real II, not IV with Cecil and Co.) is the rogue child of the series. Many liked it, and many didn't, due to the advancement system. I've played it and will eventually get back to it, although it is definitely my least favorite.
FFIII (again, the real III, not VI with Terra and Co.) is a great game too. It has not yet been remade, so you'll have to import. I'm almost done with it, and have enjoyed it.
FFIV is the best of the series, hands down.
FFV is complex in how your characters build their power, although the combinations are quite fun and useful once you get the hang of it. Great game too.
FFVI is my second favorite. Excellent storyline; second only to IV.
FFVII, despite being overrated, is in fact a great game. Materia system is limiting, however.
FFVIII has a very complex storyline, which I enjoy. It and FFVI to me are tied in that area.
Never played any others, except FF:MQ, which is, while very basic, fun to play too.