I've always considered Final Fantasy games to be exceptional.
The first one I played was Final Fantasy VIII. I played the demo many times so I just had to have it ASAP. I enjoyed the "Gardens" and "SeeD" academies, a good adventure with Squall and Rinoa. As FFVIII was my first, I found it to be the most memorable so that's my vote.
I played FFVII shortly afterwards and found it more frustrating but enjoyed the story too. Ehh but FFIX I never played in full. It just didn't draw me in for some reason...? It's a game I would like to revisit one day.
Final Fantasy games I recall were notorious for being spread across multiple discs, from memory FFVIII was on 4 discs. All those FMVs, music and digital sound effects. Was surreal at the time.
My close second would probably have to be FF XIII-2. It started to go downhill on FFXIII but I felt it really picked up on XIII-2 with a strong focus on Serah.
Which reminds me I still need to finish XIII-3...