Out of the FF games I have played, FF IV is my all time favorite. I also had fun playing FF IV The After Years when it came out on the Wii Shop Channel. Of course, it being my favorite may have a lot to do with the fact that it was the first one I actually played. FF V and FF VI are also up in the running.
My least favorite was properly Mystic Quest or FF III (the Japanese III of course). I never got into it. I played both the NES version and the DS remake and neither really did it for me. Mystic Quest, however, was the only one that I started that I simply couldn't force myself to sit down and finish. Not because it's hard (obviously) but because it was so lack luster.