The thing is, I don't want to be in charge of my own destiny all the time. In fact, I would say I almost have a beef with western RPGs that use the choose-your-own-adventure stuff as a mechanic. It almost invariably leads to a watered-down story that - even if the game is otherwise well-written - has to take into account all of the player's actions. Choose-your-own adventures just aren't very meaningful stories. They can be neat or clever in the way the writer ties everything together (Dragon Age: Origins), but they are rarely very interesting beyond that gimmick. WRPGs have the gameplay going for them, which is all they need.
But JRPGs differ in such a way as to offer a more structured experience - something a lot of people like, me included. I want to travel through an actual story and world whose elements have been crafted carefully. That's what's fun about a JRPG; there's just enough room for running around and customization, but there's also always a goal or path to follow, where the player can take on all of the challenges set out by the developer. It is a completely different type of experience than the one a WRPG generally offers. I like running through Cyrodiil because it's a wonderfully realized fantasy world that lets you just play and explore, and I like being led through Midgar because it's just such an imaginative place that stands out precisely because of the way it is carefully presented to the player.
What's funny when thinking about JRPGs now is how they look in comparison to the rest of the genres out there. Back in the heyday (SNES/PS1 era), JRPGs were so much different than any other genre of game (as far as consoles go, at least). They were bigger, required more thought and consideration, and were generally a lot more "immersive" than anything else. Nowadays, the JRPG doesn't do those things well anymore, and a lot of other genres have added their own unique touch to what made the JRPG so compelling originally. Compared to the kinds of more open world games that are popular today, the JRPG resembles some pretty old school design, like a thinking man's arcade game or something.
All this said, I rarely play JRPGs anymore. The advent of the fully-voiced cutscene took care of that hobby. It's the only blemish I can hold against my otherwise beloved PS2.
Also, DMKA: Great post. Our tastes differ greatly, but I think I agree with you.
I agree with this, too. Tying it back to the thread topic: Of all JRPG series, I can only think of Final Fantasy that, for so long, understood this about presentation. This is why I'd always look forward to main-series FF games more than anything else. The basic formula was always there, but you just never knew how it would manifest itself through each entry. It might not have always been good, but I think it was always interesting. In fact a lot of Square games from way back were good like this.