I know I can't speak for everyone, but when I say it has a deep story, I'm not only talking about the main plot of the game, but also the stories of the characters. This FF has a huge lineup of characters and as others have said, the story of each of them is very well written and well developed.
The plot-story is nothing new. Empire tries to take over the world, big twist in the middle & down with the empire, evil maniac "ruins" world, kill maniac, roll credits.
The character-story is where the deepness truly comes into play as you explore the past of each of the characters. (I'll try to be as spoiler free here as I can...) You start with Terra and over the course of the game you learn where she came from and her connection with the Espers. Later you meet Celes who was also used by the Empire. You meet Cid and have *the most* touching moment in Final Fantasy with him and Celes. You meet Gau and learn about the "wild child's" father and how he got the way he is. You meet Setzer and learn of his lost love. You meet the Asassin for hire, Shadow and learn of his past. There is the struggle between Edgar and Sabin and the rule over Figaro. And who could forget learning what Kefka did to Cyan's home. There is so much more there too and as you play, the characters begin to develop relationships with each others that add even more to the mix.
I think that is why we say it has a deep story.
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