I barely ever finish RPGs, I run out of steam after a while. I still adore them, though.
I love me some dark souls (and demon's souls), as well as diablo 1, 2, and torchlight (games like that).
There's a few slightly less well known games I like, as well. Anyone know of Nethack? I love games like that, great exploration. I also had some RPG on the PS2, but I can't remember what it was called. Something about a mercenary with a talking bird and some priestess with a dark alter-ego and they end up fighting the individual parts of some ancient evil god. I also like white knight chronicles I and II, those are pretty good ones.
Final Fantasy IX and XII are my favorite of the series. XIII and IV would be next along, I suppose.
Pretty much most RPGs with good real-time battle systems, really. Anyone remember Kingdom Hearts? I'm still waiting for Kingdom Hearts 3...
Wait... aww, now I'm sad.