The first one I played was FFVI (For the GBA). I saw a mini-guide for it in a magazine, and it was only $12 at my local game store (I guess they thought it wouldn't sell well or something). I only got it because I thought it'd be easy to beat because I had a guide. Then I fell in love with the game.
It's my favorite to this day, although I like FFIV, too.
FFVIII was my first and that was the one that got me into the series c:
I played the first one a lil bit when I was younger. But was not as into it as I am now obviously. After that I picked FFVIII up and that one really got me hooked on the series, as well as more hooked onto the whole RPG catagory.