Legend of Legaia
I like the Battle System of this game with the combination of attacks and the Spirit command, this is the Rpg game that I finished the most times (10 iirc). I was so addicted by it that I grinded till level 99 to unlock the Juggernaut Talisman, I also liked to kick asses in the Colosseum, it was so much fun. Sadly the sequel isn't as good as this one.
Klonoa - Door to Phantomille
This...this is...I don't even know how to describe it and I don't care if it can appear a bit childish, it's an awesome game and a fantastic story, I was 11y old when I finished it the first time and the ending made me cry. I liked the remake for Wii too.
I would like to add
Guardian's Crusade and
Legacy of Kain - Soul Reaver too, there are too many games to mention here and it's extremely hard to choose a favourite, hian mentioned most of the ones that I like though. I friggin loved
Suikoden 2 too, especially the villain, the conflict in the plot and the unique characters (Flik, Viktor and Jowy are my favourites).