For me, KH still has the best story of the bunch, and is still one of the best executed narratives in any game. It's fairly straightforward and well-paced, whilst managing to continually be intriguing. Seeing Destiny Islands fall apart, arriving in Traverse Town, the eerie world of Wonderland, the ominous Hollow Bastion - not to mention the surrealism of the End of the World - it felt like such a big adventure, and there was so much that was unknown. Then KH2 added the Nobodies/Org XIII (goddamnit, why), and the story bloated out and became unnecessarily convoluted. The story itself isn't complicated to understand, it's just irritatingly convoluted. Kingdom Hearts' strengths sadly became its weaknesses. I liked that BBS pulled back in and became a bit more personal, but it still had all the timey-wimey/nobody bullcrap that started with KH2 - Terra/Xehanort/ Vanitas/blaargh.
(I've only seen DDD's cutscenes, but I think I ended up liking it the most since KH in some ways - semi-straightforward, and they seem to be trying to do something interesting with Sora's character.)
Crisis Core's ending is INCREDIBLE (Zack and Cloud post-Nibelheim and the DMW breaking down, oh-my-god), but everything up to Nibelheim was a bit of a slog. Zack and Aerith went from compelling characters in FFVII to irritating anime caricature stereotypes. (It makes me worried for the remake, actually.) Cloud and Sephiroth didn't survive it too badly, but I found that Sephiroth's descent into madness lost an incredible amount of emotional punch when we as a player had kinda walked Angeal and Genesis through something similar. One of the reasons I like DoC's plot a little bit more was that while it was still silly as hell (plus lots of Reeve!), it didn't really tamper with the original game's main plot beats. DoC was 'yeah, look, all this shit just magically happened on the side and nobody knew about it. Yay!'
Type-0 prioritised world-building over character, but then unfortunately didn't do a particularly good job at dispensing all that world-building to the player... we were back to a convoluted info dump again. The playable characters were a nice little pile of anime tropes. It's a bit more understandable in this case, as there are so many playable characters and they all need to be made quickly recognisable. I still got some of them confused, mind you. That being said, the Alexander cutscene is one of my favourites in all of FF. It managed to be a fantastic moment of jaw-dropping grandiose horror. I'm looking forward to Tabata and his team bringing that sort of incredible scale to FFXV.
To keep this on topic to FFXV, in some ways I think the groundwork that is there could play to Tabata's strengths. There seems to be a lot of interesting world building in place from its Versus days, ie. all the kingdoms and their adversarial histories. Tabata's been saying all the right things with story, too - especially with character and character arcs - but whether the game backs it up is another matter entirely. If they keep the story straightforward, but intriguing, it could work quite nicely. I just hope the world-building doesn't override everything else again, like in Type-0. I love a well thought out world more than anything, but especially in a video game, the characters have to come first.