As others have said, you just can't go wrong with the BG series. I don't think it finished as strongly as it started, however, with ToB feeling a bit too cramped and "forced" for my liking. There was an epic level item in practically every area; if it was an MMO zone you'd call it "candy-land".
Fallout is another "must play" series, and has the best atmosphere of any 2d RPG I've played.
I've recently picked up PS:Torment and KOTOR, and from the sheer number of glowing reviews all over the web, I'm sure I won't be disappointed with those either.
Then you've got your RPG hybrids - Deus Ex and System Shock, both absolutely amazing experiences. Personally I think SS2 just edges it over DE, to be my favourite game in this genre. Bioshock had better be amazing
Oblivion - I'm afraid I didn't like it even a little. To me, it was first-person hack'n'slash, with very little on offer other than fancy graphics. I didn't see any strategy, anything other than your run-of-the-mill hack'n'slash storyline, and I just wasn't excited about the world or it's inhabitants. The levelling system was absolutely awful, and I wasn't prepared to try to mod the game into something I might have liked. So I sold it
Someone else in this thread mentioned Diablo 2. I am the only person who prefered D1? It was a lot scarier, and although it lacks the innovations of the second game, I thought keeping it indoors worked well and with fewer classes it was a more focused game.