Oblivion was my first, I know, I know, I am a little late to the party. Before then I normally preferred strategy games like Age of Empires.
Hey, that is like me too. I played Empire Earth and Battle for Middle-Earth. I think that one of the first games on PC I really got into was Rome: Total War.
Of course, I've played several Legend of Zelda titles, but I'm not sure how many of them qualify as RPGs.