I don't think I have just one favorite. It'd go back and forth between Final Fantasy VI, Persona 4, and Xenogears. Trails to Azure might be getting up there too.
I replayed Xenogears recently, and I think it says a lot that it's still my favorite story in gaming despite the last few chapters being super unpolished/unfinished. There's some excellent character writing including a touching romance, and amazing narrative scope. While the gameplay is certainly messy, I still enjoy the gear battles and the soundtrack is absolutely top-notch.