This is my selection of classic RPG games (i.e. dwarves, goblins, dungeons etc.) - all good but slightly different approaches to RPG:
Morrowind GOTY edition - heavy stats-based RPG, first-person. I preferred this to Oblivion by a huge margin.
Dark Messiah: Heroes of Might and Magic - easy going RPG, similar to HL2 combat. Great fun kicking goblins off cliff faces.
Baldur's Gate 1 + 2 with high-res patches - yes they are as old as NWN, but they are still classics and brilliantly done.
Also - other first person lite RPGs you could try are the brilliant "Vampire: The Masquerade Bloodlines" which oozes story and character, and Deus Ex, which has enough written about it.
If you fancy online play, World of Warcraft presents a polished online world.