My first FFs were actually on gameboy, and weren't part of the FF series outside Japan, I think. They were called... Final fantasy adventure II and III? It's confusing, because Final fantasy adventure one is actually Seiken Dentetsu I, the precursor to secret of mana, but 2 and 3 were Saga games in Japan, I think. They played a lot more like early Final Fantasies than more recent Saga games, however.
Then, I played some of Final Fantasy I and all of Final Fantasy IV at a friend's house, but FF VI came out right after I finally convinced my parents to buy me a SNES, so it was the first one I owned, and it's still my favorite. Though I do enjoy every game in the series, and have finished all of them except VIII and XII. Still have to run through those two (unfortunately lost my save game to VIII.)
Oh yeah, to make it easier:
Favorite: FFVI
First: FFI First beaten: IV
