Dragon Age: Origins(Fantasy party based RPG with some of the best characters and writing I've ever seen, in video games or otherwise)
The Witcher 2(Great combat, interesting premise, but a little bit short(For an RPG) and lacking a truly great story hook)
Oblivion(The story sucks and the combat lacks impact, but everything else is suburb)
Fallout 3 or New Vegas(Oblivion, set in the post apocalypse with better combat and writing. Play it again if you have already)
Mass Effect 1 & 2(One of, if not the most, thought provoking, philosophically charged games released to date. Also with some of the most striking characters)
Knights of the Old Republic 1 & 2(The first one is an exceptionally well structured RPG with actual role playing. The second one lacks a proper conclusion, but is just so goddamn fascinating with it's nuanced characters and intelligent and subversive themes, that you owe it to yourself to play it anyway. This is one of the video game equivalents to Watchmen)
Persona 4( Never have I been so attached to in game characters, that the very prospect of a game ending made me tear up)
Vampire: the Masquerade - Bloodlines(Multifaceted world, interesting mythology, great characters, and of course, it's beautifully written. Unfortunately, it's not nearly as fun to actually play)
Demon's Souls(It's punishing, yet you can't turn away from the mystery it holds within. It's more of a survival horror game then most survival horror games. It's horrifying, yet darkly beautiful and mesmeric in it's immersion)
You may very well have played some of these before. I recommend telling us what you've already played