I usually don't have any problem remembering where I am in the narrative (unless it's a really bland story), but I often do have a problem coming back to a game and remembering what I am supposed to do next or where I am supposed to go next. I'm the type of player that occasionally puts down a game for years and then comes back to it much later to give it a second chance, and I like to pick up where I left off.
The Tales series has what I think is an almost-perfect solution to this problem - each game has a "Synopsis" option (or similar) on the main menu, which includes a chapter-by-chapter summary of the plot so far, with each paragraph or chapter ending by telling you what you should do next. For example, it might say "With the Balacruf Mausoleum's guardian defeated and the third seal broken, the party headed to the Church of Salvation to learn more about the fourth seal." Well, reading that, there's no ambiguity over what to do - head to the Church of Salvation and speak to someone who might know about the seals!
As a tangent to the discussion, I have found that even after two weeks away from a game, if I have played another game in the meantime I often forget a lot of the controls and have trouble getting back into it. This is much less of a problem in RPGs than most other genres, but I think it's a very worthwhile thing for any game developer to remember - keep the controls as simple, intuitive, and compact as possible, and include good in-game tutorials that can be accessed at any time.