Just thought I would point out: On the Voodoo 5 and the GeForce 3, the scene is rendered multiple times (2x or 4x) and then the images are averaged (It is a lot more complex than that, but thats is the basic gist). This way provides the best speed and best removal of jaggies.
The GeForce 2 and ATI Radeon (yes, even the new one) uses Supersampling as you described. This is slower, and doesn't do as much for the jaggies on polygons, but texture detail is retained.
If people are using antialiasing on thier GeForce 3s, I would reccomend turning on Anistropic filtering to deal with the lowered texture detail.
In all honesty, unless you have a big processor, it isn't really worth enabling antialiasing on anything but a GeForce 3 or a Voodoo 5. (I can't really say for the Radeon, as I have never seen one running, wheras I have run most everything else)
With your processor, even though you are running an MX, you should be able to run it at 640x480x32 w/ 4x antialiasing. I would also suggest you enable filtering to mode 6 for the Final Fantasy's
You may also wish to set Framebuffer textures to Gfx card buffer