From this generation is difficult because there haven't been many amazing rpgs that I have really liked that had an amazing story. My favourite is Fallout 3 but I admit the story is only there to set you off into the wastelands however if I can use any generation I would say.
Final Fantasy X. An odd but incredible story, some find the Japanese story too foreign to appreciate but I absolutely love it and if you can allow yourself to like the characters and feel the impending threat then you will enjoy it so much.
Kingdom Hearts. Again a bit of an odd story but it's a lot of fun and you can really appreciate the scale of the universe. Along with that, the variations in scenery are just so fantastic, one minute you are in the middle of Tarzans jungle, the next you are fighting in Hercules' Colosseum. It ties in with Disney stories but at no point does it feel childish and I promise you it's a blast.
However if it must be from this generation then the best I can think of is lost odyssey. The story is beautiful and moving, I cried several times throughout. I must warn you, there is a boss battle very early on in the game who is incredibly difficult and without bucket tons of grinding and luck, you will lose. Research it before you play it and you should be fine
Hope that helps