I would have to say Final Fantasy XII. I had fun with the immersion, the soundtrack, the overall art direction. I don't care what anyone else says, it was a beautiful game, best played for the art of it (for the end of the PS2 era, it had some serious detail). Hell, read all the monster profiles and such as you unlock them. This game had depth. Too many people just complain about the acting or the gambit system (which isn't even broken until near the end of the game anyhow). Maybe it's how I play as well (minimize level grinding unless there's That One Boss/hunt, and even so, keep the average team level fun), but, I like the MMORPG feel it has, despite being a singleplayer adventure. Monster hunting being among my favorite tasks. Best side-quest(s) in the recent FF series (post-FF7), including obtaining (useless) summons.
Honorable mentions also go to FFX and FFX-2 (primarily in it for the Sphere Break game), and Phantasy Star Online (XBOX) EP1 & 2. Despite being an actual MMORPG (though I have played and beat both episodes solo), it was pretty fun to play through, and also had a great soundtrack to play to. And last mention goes to the original Tomb Raider trilogy for the PSX/PC. Beaten 1 and 2, and made it past the 1st chapter of 3 legitimately. Not an easy game in the least.