Hmm, tough question. I guess my absolute favourite RPG ever would be Zelda : A Link to the Past.
Other favourites include Morrowind, Neverwinter Nights, Icewind Dale and Deus Ex.
Played Diablo II and Dungeon Siege for a while too, but they both got very dull after a certain amount of time.
I want to pick up Planescape : Torment some day, I hear it's excellent.