From all games I've played, I enjoyed all of the sidequests involving chocobos.

Be it the chocobo races from FFVII or FFX (I have to say I enjoy the FFX's a bit more), the chocobo forests of FFVIII, the chocobo Hot and Cold of FFIX, travelling around the world on Boko in FFV, catching the chocobo in FFX-2. You get the idea.