If you don't mind the simpler graphics (some people really seem to hate them) I'd try FF6 for the GBA first. It's got a fantastic story and is a bit less hardcore than the DS ones (3 is punishingly hard at times, with a fairly so-so plot, while 4 isn't as hard, though bosses need proper strategy, but it has a fantastic story).
And as everyone has already said, go for it with Zelda, you really don't need to know any backstory.
As for KH games I'm not sure. There was a GBA game that sat between the two main games, and it looks like the DS KH game is a spin off of Roxas story (he's the Nobody created when Sora became a Heartless AFAIK). Not sure if it will play into the plot significantly or not... details are sketchy...
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