My favorite is probably Path of Radiance, but I'd suggest starting with just 'Fire Emblem' on the GBA for various reasons.
One being that pretty much everyone likes it, even if it's not their favorite (there's not really a 'fanbase split' like some of the other games), another being that the first time through the game has a forced tutorial that's not as annoying if you don't know how to play and actually need to be taught (no other FE game has a forced one) so it's best to play first.
Also it has some of the best characters in the series, really well designed maps, great balance, and is extremely replayable because of lots of hidden stuff and alternate game modes.
Radiant Dawn is my clear favourite, but I do have to second most of this, with a bit less hype for the characters (they're good enough, though, for FE).
--
The RPG Duelling League: www.rpgdl.com
An unparalleled source for RPG information and discussion