I'll throw in a few gems I remember back in the old days.
Vandal Hearts - 1 and 2 were my first tastes of Strategy RPGs. Okay story, but a wonderful difficulty. Tactics were heavily needed in these games. Konami needs to bring this one back.
Saiyuki - Another Strategy RPG, this one based off of the story Journey to the West. For an older game, this RPG had a ton of extras you could do. Great job by Koei on this one.
Ring of Red - Yeah, another SRPG... this one's set in an alternate reality Japan WWII type setting, with diesel feuled mechs you walked around in firing mortars and machine guns.
R.A.D. - Robot Alchemic Drive. A bad japanese giant mech B movie turned into a game. You vs. giant aliens in a fully destructable city. Tons of missions, goofy plot and dialogue, a unique battle system where you're piloting the mech from the outside, and can only battle from the character's POV. Never has there been a game so awful and so awesome at the same time.
Thousand Arms - RPG and date simulator in one... probably the only one that has and will ever come to the States. Dating was hokey, but it did have a purpose, and the story wasn't that bad. If you can find this one, try it out.
Hooligans - A Soccer riot simulator for the PC. Honestly, it doesn't get more awesome than that.
Mafia - A great game about the Italian Mob that was dwarfed by GTA3 back in the day. I'm estatic that this game gets a sequel.