Final Fantasy Tactics definitely gets my vote on this one. Great story, actual player-controled character making a difference in the events of the world (even if only one possible outcome), these are the only things that really make a good RPG. Bit of a downside that the lengthy tactical game play kind of slows things down.
I've also heard that Final Fantasy VII Crisis Core is decent (ignoring the crack-driven randomly determined combat stuff).
Breath of Fire, Lunar, and Persona series are also a good recommendation.