I don't have a specific favorite Final Fantasy as much as I have a top 5 that I enjoy far more than the rest.

Final Fantasy IV
Final Fantasy VI
Final Fantasy VIII
Final Fantasy XII
Final Fantasy XIII

Interestingly enough, they're all kinda different in many ways, and I love them for different reasons.

I love them all mostly for the characters and stories that they tell. FFIV's setting is very much a traditional "anime fantasy" setting, although the conflicts and stories that the characters tell make it stand out as a tale of redemption, revenge, and duty. FFVI has the largest cast of characters, and I cared about each and every one(save Umaro and Gogo, who are awesome anyway), FFVIII didn't have the strongest set of protagonists in my opinion, and to be totally honest I was much more interested in Laguna's story with Kiros and Ward, Julia and Raine, and Ellone. He seemed like a goofball that was easy to relate to. FFXII had interesting characters, however they paled in comparison to the epic war drama that they were players in, and to this day, I still think that FFXIII has some of the best(if not a bit overdramatic) characters and character interaction I've seen in a lot of games. It also probably has the most believable love story that I've seen in video games in that the characters have a REAL investment in eachother and interaction as opposed to the game just telling us they like eachother/they end up together near the end inexplicably.

So as not to take too much more thread space, I'll give bullet points for the rest.

Music(Hamauzu does an awesome job for FFXIII)
Design aesthetic(of special note the towns and environments of FFVIII)
Themes and situations present in each game
Great battle mechanics