I've always liked the Final Fantasy series: they managed to make a world, give it proper backstory, flesh out real characters. The first JRPG I played was FFIX. Great game. First game that actually drew me in, absorbed me into the story line. Other games, including WRPGS, have also done the same, but FFIX, a JRPG, was my first real example of how a game could be just as effective as a movie at telling a story.