Start out with Final Fantasy VII, its on PSN, it has everything you want. comedy, action, drama, and most importantly a deep storyline stretching from ff7 before crisis, ff7 crisis core, ff7, ff7 dirge of cerberus, and a movie ff7 advent children complete. (still waiting on the lastest version of the game. ahem.. Genesis in sig)
I doubt you'll ever see FF7 FF8 and FF9 on any other platform.