I think they all are awesome too but if i have to choose then...
Gameplay - Final Fantasy I Anniversary Edition (PSP)
No flaws, nothing broken, an excellent leveling system and great fighting system. Lots of bonus dungeons and it feels that this game could be extended in so many ways.
Story - Crisis Core: Final Fantasy VII (PSP)
The story is awesome even though it was short. I played through the original seven but it ain't coming close to this masterpiece when it comes to the story of the games.
Characters - All of them!!!
All FF games have great characters, even the first one (Garland ftw!).
World - Final Fantasy VI
Yupp, the one who has the best overworld is easily FFVI, even though VIII and I had great overworlds. VI had two of them and lots to do in each.
FFVII didn't have that much of a great world map, almost everything was explored and not that many secrets after Disc 1...