SMT IV? SMT IV. I really love the Persona series, I really do. P2: Eternal Punishment was my first one, back on the ps1. I spent maybe ten hours just trying to get Justice in that goddamn park. I couldn't beat the last boss, so I went back and farmed until I broke the in-game clock, just so I could level up to 99 and get Satan via Beelzebub. Then my sister fried my memory card, and I haven't quite forgiven her for it.
SMT: Nocturne was insanely hard but I didn't care, because 3D demon models. Plus, punching for macca in a red tunnel was hilariously hard.
Digital Devil Saga 1/2 is one of my favorites, too. 2 made all the attachments you formed in 1 mean so much more. The WTF ending of 1 was hard to top, but 2 managed to get there.
Never did get into the Devil Survivor series, though. I don't like SRPGs very much, and I always screw up that one move that could have given me victory.
P3/P3:FES/P4, well, I'm with the general consensus. Spent so much time on FES. I even got P3 again on the PSP just so I could try being a girl. Never beat it, though. It's hard to start over from scratch when you know there's so much to go through.
SMT: Devil Summoner : Raidou Kuzonuha vs. The Soulless Army and SMT: DS2: Raidou Kuzonuha vs. King Abaddon were really fun, even as they changed up the turn based strategy gameplay. Plus, it's fun to say the entire title. I still have my Raidou Jack Frost plushie that came with the first print. Atlus takes care of their fans, that's for sure.
And so now we come to SMT4. As far as I can tell, it's got the same great traditional turn-based, demon fusion gameplay from the previous series, including the press-turn system, as well as an insanely steep learning curve. You can die in the tutorial dungeon. That's great. I think my 3DS is going to get one hell of a workout now.
Edit: Oh yeah, I got Persona1 for the PSP last year. It's definitely the weakest one of the bunch, I think. Really stilted animations and fusions are kinda meh.