Though I'm always quick to recommend Metal Gear and Guilty Gear (wow, maybe I just have an obsession with the word Gear...) you seem to be looking for RPG's. Xenosaga is pretty good (1 is really good, 2 is rather disappointing and 3 is this is amazing!), Disgaea 2 is pretty damn good. The Shin Megami Series is pretty good but I recommend Persona if you are looking for intricate storytelling. Either Persona 2 or wait for Persona 3 to be released.

For deep storybased games you can lose yourself in, I recommend Xenogears and Vagrant Story (both PS1 games). Xenogears is a story time sink, it's literally 60 hours of story but be prepared for some heavy text reading but seriously, the story and characters are really amazing and it has one of the best love stories in an rpg ever.

Breath of Fire series... any of them but 3-5 are the best IMHO. Also looks for Star Ocean 2, it has a much better storyline and likable cast than 3.

I don't know if you like politics or what not but check out the Suikoden series as well. It's a generational series but it's pretty damn fun. Also the stories have the awsome 27 True Runes which add a bit of fantasy fare for those turned off by politics. Suikoden 3 is a wonderful start for those trying to get into the series. This is partly due to 1 and 2 being impossible to find and expensive when found. Suikoden IV is sorta've a "black sheep" in the series but V is also another wonderful option but it has a heavy usage of politics whras III is more balanced and offers something for everyone.