I never was that much into tabletops/pen and paper games, but for video games RPG is my favourite genre.
I started playing RPGs with TES III: Morrowind. One hell of a ride, with great soundtrack, excellent atmosphere, curious game mechanics (am I the only one that loves this game's rng? Or stamina affecting all actions?), amazing story and world building (and more exploits than you can think of). I can also recommend TES II: Daggerfall if you're into dungeon crawler RPGs. This game can be depressingly funny at times. It gives a lot of freedom and has some interesting mechanics (gold weight and banks, buying houses, boats, item repair taking a few days depending on how worn out they are). Too bad that it was a rushed release and still may contain more bugs than you can count, and some things were never finished. You may find yourself out of things to do and feel that the world is pretty generic though.
From whole Might and Magic series I played only Mandate of Heavens. It's quite hard in the beginning, but it's quite good.
First two games in Gothic series were great as well and both are incredibly hard in the beginning, keeping up with challenges later on. Gothic 2 with it's expansion is much better than the first one IMO.
Then there's The Witcher. I enjoyed the first one the most, mostly due to it's character progression being more meaningful than in later games (in second and third they were smaller, incremental bonuses). Third one got best combat mechanics, open world and movement not restricted by player clips, though second one has cool stuff like baits, throwing knives, traps and highest difficulty in the series.
If you're willing to try turn-based games, both parts of Baldur's Gate are great games. They're oriented towards parties, but are possible to beat alone as well (won both with neutral evil sorcerer). Planescape: Torment is great story-wise and similar in gameplay mechanics to Baldur's Gate. Kinda weird, but really cool game. I also played Divine Divinity. Couldn't stand it's graphics, but otherwise it was quite solid game.
I also like hack & slash variety of RPG games. Diablo 1 has great atmosphere and provides a nice challenge. Second game in the series greatly expands upon it, adding much more gameplay mechanics.
Dark Souls games are incredibly good, that whole extremely high difficulty is kinda myth. It's just much less forgiving than other games. Once you get a good grasp of gameplay mechanics, it flows smoothly. It's not as in-depth RPG game as TES or Gothic, but it has awesome story, great level design and gives a lot of satisfaction.
EDIT
Forgot to mention Heretic and Hexen series. Brutal, raw and atmospheric. There weren't many RPG mechanics in those and gameplay was more like fantasy Doom, but I still count them as early slashers.