I really dig the Bioware RPGs. Knights of the Old Republic, Jade Empire, and the upcoming Mass Effect. They all let you choose your path, and much more succesfully than a game like Fable, where the morality felt phony and tacked on.
Morrowind and Oblivion are good because of the sheer scope and depth of the worlds. They're freaking huge, and you can do just about anything you want. Want to learn a spell to fly? You can do that. Want be able to jump from building to building? You can do that. Want to kill everybody in the game? You can do that too, if you've got enough time on your hands.
I also like games like Kingdom Heats, although I thought that the first one was quite a bit better than the second. They're both well done action RPGs, although there's nothing really ground breaking about them (although the inclusion of Disney characters is kind of weird).