Favourites, in roughly this order: FF8, FF6, FF7, FFX, and FF4.
I played through the entire first 10 FF games recently, after the Pixel Remasters were released, and these were the games I largely enjoyed the most at this time. I find I have little patience for the FF1, 3, and 5 style FF games, especially FF5. And FF2 is more or less a Saga game, and I’d put it on par with Final Fantasy Saga/Legend 2, and superior to Saga 1 and 3. FF2 was probably my favourite game from the FF1-3 and 5 group.
Generally, I like the even numbered games better as they have the better characters and stories. Final Fantasy 7 is the exception, because it is more like an even numbered Final Fantasy game than any of the odd numbered games. The even numbered games, up to FFX, each felt like a Revolution, while the odd numbered games felt like mere incremental updates (FF7 excluded). These games generally have characters with psychological depth, character flaws, to strengthen the story - there is more of a dramatic payoff when they defeat the demons without and the demons within.
I don’t want to downplay FF4, either. This was the first game in the series that had a lot of strong causal writing, and the only game that did it before FF6. Instead of the “this happened, and then they went here and this happened, and then this, and then this, and then this…” it was more of a causal chain “This happened, So then they did this, But then this happened, Because of that they had to go here” - and so it felt like FF4 had a lot more happen in it, despite being less than half the length of FF5. Final Fantasy 6 was IMO, the biggest revolution in the franchise > new team heading it, a collaborative effort, and a commitment to causal writing, characters with flaws and depth, and so on. But they owe it to FF4 who threw that torch for them to follow into the darkness to the promised land.
Final Fantasy 8 is my favourite FF game of all time because of how beautiful the world is, and how much depth there is on the periphery. There was a robust crafting system that linked into magic, equipment, and weaponry that I have a lot of fun with. The system in that game is much like Xenoblade games, but instead of classes there are Guardian Forces, and they can be mixed and matched. As you learn classes in XCX you gain skills, and you can equip a few of them - FF8 has a similar system to that from a decade and a half earlier; and Witcher 3 also has a similar system. But I think what really made FF8 for me was the world, the cities inspired from various cities through modern history, and the Arcology-like Gardens are Universities existing in something like an Asimov Cave of Steel - and despite being a game made in the 1990s, there was an Internet and a character (Selfie) who had a blog to detail here adventures with the party and developments in the world and at their school. There was also great continuity as well, after major events, you could re-explore regions (especially the Garden) and residents would have updates thoughts and dialogue - some characters died. This had never been done on this scale before at Square or Enix, which really lasted the entire game - at least among mainstream RPGs: Terranigma, for example, had some development happening, but it was more of a localized phenomenon, while the development of Garden felt more tied into the game as a whole. I think the closest thing would be Suikoden 2 by Konami, released a few months earlier.
One thing I really liked about FF4, 6, 7, 8, and X was that the characters were people I could recognize in real life. They felt more realistic. Everyone I know has some kind of struggle. While the other FF games felt more external problems, and that everything else in their life was otherwise perfect and everything would be great if it just wasn’t for those nasty bad guys. A lot of people like the black and white, but it’s not for me. I like the characters with layers, and then story that sprouts from those layers impacting internal and external struggles. Except if the game is like Skies of Arcadia or Breath of the Wild, and the whole focus is on exploring this beautiful world.