IMO the first FF you play always seems like the best lol. But maybe that's just me.
I absolutely loved FFX to bits, mainly because it was the first Jap RPG I played. I then borrowed FFVII off a friend and completed a few hours of it. From what I played, I loved, but my PS2 started giving CDs DREs, so I gave up. I'll play it through some day, but it's such a long game, and I swear it took ages for me to get to where I was on the first play through (I was only on the first disc of three as well).
Meh.
I played FFX-2 and it was only decent. It was a spin-off really, and nothing interesting. FFXI was apparently bollocks, so I never bothered with it. FFXII I made sure I played, but I just didn't like it. Probably the new combat system, but it just didn't work for me. Plus the storyline was nowhere near as epic as other Final Fantasy games.
Anyway, I'll stop ranting. Long story short is I've played the start of almost every Final Fantasy, but never had the patience to brave them until the end (even though I love them :\). So don't feel obligated to finish each one. Just go for whichever ones you want.
I recommend you play:
DS remake of FFIII and FFIV when it comes out
FFVII
FFX