Having played Y0-Kiwami-1-2-3-4-5-6., the Japanese spin-offs and a fair chunk of the PSP games, I'd say 0 is my favorite of all. I think it has the most style, flair, character and the best humor the series has to offer. Being a prequel also helps it have the most cohesive plot that doesn't rely on the baggage bought about by the (often convoluted) story told in future games in the timeline.
I felt Yakuza 5 was the most dense in content by far, but it's story seemed to drag a little too long and tried to wrap up too many things at once, while very ambitiously trying to include new characters - which only raised more questions, leading to many plot holes and things that flat-out didn't make sense - resulting in a rather poorly told game. Still a wonderful, and often, touching experience though.
I could go on, but man - I just love this series as a whole. It's better than the sum of it's parts. They're all rather flawed in one way or the other, yet for some reason, when it comes to this series - I just don't care.
That said, I still believe Yakuza 0 to be the best in the series.