I've had good experiences with both, but I've found that the latest years I've enjoyed the western RPGs more than I have enjoyed the JRPGs for ome reason.
Mass Effect(WRPG), Fallout 3(WRPG), Morrowind/Oblivion(WRPG), Planescape:Torment(WRPG) and Super Mario RPG(JRPG, but kinda unique somewhat.), but I have foud memories of the Paper Mario RPGs and some of the old SNES final fantasy titles.
Anyway, to anyone saying that Western RPGs don't have good stories: See Planescape: Torment and Mass Effect.
Edit: Woah, I forgot the Mother series, one of my favorite RPG series of all time.