I've also played through all the numbered Final Fantasys, though to be honest, I'm not a huge fan of the series (give me Dragon Warrior/Quest anyday ). Yes, they are really fun games, but they never really struck me as being 'the greatest series ever!!' as some gamers would make them out to be.
I'd have to say that my favorite of the bunch is VIII. I enjoyed the characters and the story a lot and the final battle was one of the craziest I've played in a long time. I forgot most of the details about the game, but I was fighting the sorceress in the final round with only Squall (everyone else was taken away) and completely ran out of all items, etc. I had literally one last chance to kill her before I'd lose and, lo and behold, I got Squall's "Lionheart" (or whatever his super-high damage attack was) and killed her. I dropped the controller and danced around the living room I was so happy! That was a looooong battle and I was definitly relieved it was over.
I also really enjoyed XII. The real-time 'gambit' system that was used was really fun and made for nice, fluid battles that made the world seem more alive. I hope they use it again in future games.
My least favorite is probably II. I liked the level-up system that it used, but I don't think the designers implemented it very well. The 'cheat' you could use to level your characters was the only way I could stand to play through it.