You know, we get this question a lot speckled here and there throughout the forums, so I thought I'd do us all a favor and stick a thread with the answer some of you always seem to seek.

Why is it called "Final Fantasy" when it's not the last one? To quote Wikipedia:

Final Fantasy is a role-playing game developed and published by Square Co., Ltd. for the Nintendo Entertainment System in 1987, and is the inaugural game in Square's flagship Final Fantasy series.

Final Fantasy has subsequently been remade for several different video game consoles and handheld systems, including the MSX 2 computers (converted and released by Microcabin) and the Bandai WonderSwan Color. It has also seen versions produced for two Japanese mobile phone service providers: the NTT DoCoMo FOMA 900i series (as Final Fantasy i) and the CDMA 1X WIN-compatible W21x series of mobile phones from au/KDDI (as Final Fantasy EZ). The game has frequently been packaged with its sequel, Final Fantasy II. Compilations of the two games have been released for the Family Computer, the PlayStation, and the Game Boy Advance. For release information regarding the PlayStation and Game Boy Advance compilations, see Final Fantasy Origins and Final Fantasy I & II: Dawn of Souls, respectively.

Final Fantasy was developed during Square's brush with bankruptcy in 1987. In a display of gallows humor, producer/director Hironobu Sakaguchi declared that his final game would be a fantasy RPG, hence the title. Far from being Square's final game, however, Final Fantasy proved to be a major success in Japan, not only saving Square from bankruptcy, but presenting them with the second most popular RPG franchise in the country (after Enix's Dragon Quest). Following the successful North American localization of Dragon Quest (as Dragon Warrior), Nintendo of America translated Final Fantasy into English and published it in North America in 1990. The North American version of Final Fantasy was met a modest success, due partly to Nintendo's aggressive marketing tactics. No version of the game was marketed in Europe or Australia until 2003's Final Fantasy Origins.

Final Fantasy, along with the original Dragon Quest, proved to be one of the most influential early console role-playing games, and played a major role in legitimizing and popularizing the genre. Graphically and musically, it was a more polished effort than many of its contemporaries. Many modern critics point out that the game is poorly paced by contemporary standards, and involves much more time wandering in search of random battle encounters to raise their experience and money levels than it does exploring and solving puzzles. However, this was a common trait for role-playing games of this era, and one that, in some respects, would remain in place until the mid-1990s.

Final Fantasy was Nobuo Uematsu's seventh work of video game music composition.
Hopefully, that answers your question before you even ask it. It seems we never could answer that question enough times for enough people.