I really struggle to pick just one because RPGs are mainly what I play these days. I guess if I had to pick just one, it'd probably be Fallout 3. Oblivion probably comes in second. There are still a lot of RPGs I have sitting around that I've not actually played yet, but of the RPGs that I have played on various systems, these are some that I liked:
Xbox 360: Blue Dragon, Deus Ex: Human Revolution, Elder Scrolls IV: Oblivion, Eternal Sonata, Fallout 3, Lost Odyssey and Two Worlds were RPGs I enjoyed on this console. Tales of Vesperia is also amazing so far but I'm currently playing that so can't really rate it just yet. Star Ocean: The Last Hope is also pretty good but I've not finished that yet either.
PlayStation 2: Deus Ex and Final Fantasy X are really the only RPGs I've played so far on this console. Both were good.
PSP: Crisis Core and Star Ocean: First Departure.
Sega Saturn: Virtual Hydlide and The Story of Thor 2
PlayStation: Breath of Fire IV, Grandia and Final Fantasy VII (the few hours I played of it).
Mega Drive: The Story of Thor and Starflight (from the little I've played) were pretty good.