So many young uns on here, I feel really old. the first one was either Lords of Midnight [http://en.wikipedia.org/wiki/Lords_of_midnight] or Druid the enlightenment [http://www.cpczone.net/game/2200/]. Awesome but obviously so old there is no wikipedia reference.
The first rpg I played to completion was Shining in the darkness [http://en.wikipedia.org/wiki/Shining_in_the_Darkness]. This lead me to play shining force et al.
I must be getting too old as everyones games are far more contemporary.
Note to SEGA: Release Phantasy star 4, Shining in the Darkness, Shining Force and Shining force 2 on XBL