The only one I havn't played was FF2j as it was never ever translated to my knowledge (although I'm not sure what games are in Origins). And as for FFXI, I didn't play it until after I had played City of Heroes, so I wasn't too thrilled by it, I'm not into most MMO's.

FF1: It's the Original! What can I say? It's a classic.
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FF3: Now this one I've only played about half (the fan-translation crapped out on me) But I really enjoyed this one, it was like FF1 on speed.
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FF4: The story and characters of this one were excellent, a classic and briliant game.
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FF5: I love the job system. And I though that the storyline was very cool too. One of my favorites.
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FF6: This one is number two for me. A great story, memorable characters and fantastic gameplay. The Opera House scene is one of my favorites from any game ever. I almost teared up. And Kefka is the most evil badguy in the FF series. That laugh just sent chills down your spine!
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FF7: First one I ever played, and my favorite. A nice steampunkish world and plot, memorable and well devloped characters, one hell of a story. And lets not forget Sephiroth THE ultimate badass.
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FF8: Not one of my favorites. I found the draw system awkward, and some of the story elements (like the whole Orphanage thing) were kind of odd. A good game by any standards. Just not FF's best.
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FF9: Although I haven't actually completed this one, truth be told I do like it. The story is nice and the game just seems very nostalic to me. I also liked that the enemies kept up with you in level. A very nice game.
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FF10: It was a great game, the use of Aeons in this game was just as it should have been in all Final Fantasies. My only real complant is that the game didn't really seem to go anywhere for me. I just didn't feel like I was actually progressing, it felt almost as though I'd just started when whoops, I'm right near the end of the game!
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FF10-2: I hated it, I'm sorry, I just did. the story completely ruined FF10's, and I didn't think the job system was implemented very well. FF5 and FFTA had good job systems, FF10-2? Not so much. the game was just near-agony to play.