For non-fantasy/non-medieval RPG, it's laughable that Mass Effect isn't mentioned anywhere, given its super budget/super-studio production, its scope, level of immersion, and overall addiction factor, it's hands down (and yes, I'm being objective) the best Sci-Fi based RPG (Fallout 3 notwithstanding) you'll likely ever play. Fallout 3 is also a must-play. Fallout 3 might be the most addictive, and believable open-world type game I've ever played besides the aforementioned Mass Effect.
For fantasy, I echo the sentiment of others with Oblivion. Not much compares to that game aside from possibly the now very dated original Neverwinter Nights. As far as Fantasy RPG goes the adherence to original D&D canon and rules, scope and detail of the original Neverwinter Nights was so vast, and layered, that millions could play it and all have unique characters with unique items. It was literally that deep and complex. It's a shame what Obsidian Entertainment did to the Neverwinter Nights sequel. Although I hear Bioware's upcoming Dragon Age is supposed to be the spiritual successor to Neverwinter Nights. They have a sparkling resume with reagrd to creating masterful RPG's so I have a feeling Dragon Age will be the next big RPG.
So my "must-play" RPG list in no particular order:
1. Neverwinter Nights + sequels (the original)
2. The Elder Scrolls IV: Oblivion
3. Mass Effect
4. Fallout 3
5. Dead Space (not a true RPG but close enough to warrant playing)
6. Fable: The Lost Chapters