There are so many, and this may not be my favourite, but it's definitely not mentioned often enough.
Shin Megami Tensei: Lucifer's Call (aka Nocturne or SMT3) is the best Japanese RPG I've played and one of my favourite games of all time. Why? It's a creature-collecting game in which the apocalypse happens and you're left exploring the Vortex World, a transformation of Tokyo into a sort of limbo, where other survivors and demons are attempting to reach Kagutsuchi (the sort of god/source of power/whatever) in order to create the world in their image. The game isn't heavy on story though. It's mostly about moving between places, convincing demons (designed after creatures from all sorts of different mythologies and religions) to join you, fusing them together, creating a strong party... the battle system is difficult to explain but has a lot of depth.
Oh, and you get to recruit Dante from Devil May Cry.