First Final Fantasy game... would have to be.... *thinks on it a moment...*
I think it was Final Fantasy IX, then I got VIII, and found out that they indeed were NOT sequells, no matter how much I liked to think they might be. XD
That was that I could remember at the time though... My VERY first Final Fantasy gave was FFI, the very first one, I had been playing it when I was... maybe... four or five? I got IX when I was eight and VIII when I was nine, then the rest of them a few years passing by, getting more and more every year.. >_<