Okay, first, ignore everything this fool said. COD has no value, and final fantasy is 10x the game COD is.
Second, to answer your question, Final Fantasy is not one game. Each game are their own stand-alone game, unless titled otherwise (like final fantasy 13 and final fantasy 13 part 2). Most earlier FF games were strictly RPG games, so if you played those earlier games its not hard to understand why you had troubles following the story. The newer ones however should be easier to follow, at least once you accept that each game is its own story with no relevance to the others outside the bare basics (attacks, spells, summons, etc).
Final Fantasy 7 is regarded as the best in the series, though i've never played it as its a very old game (around ps1) and never got the chance to play it. Final Fantasy 10 was a very fun game (ps2, and I believe an HD remake for ps3 is coming out). I can't say much about the story lines though because 10 I played when I was younger and dont remember much about it. The one final fantasy game I DO remember is Final Fantasy 7: Crisis Core (psp). Arguably one of the best psp games and my favorite final fantasy game to date.