The elder scrolls oblivion all the way. It is the definition of an RPG. The sequel is finally coming out soon. it looks like it will be even better. Fable 1,2 and 3 are fun RPG's too. Also check out fallout 3, and fallout new vegas. They are made by the same people that made oblivion.
cingcon basically said all the really good RPG games. You could always try the Mass Effect games they are kind of RPG.
For strategy games, I really enjoyed Tropico 3. All the other strategy games that I enjoy are way too old and obscure. You wouldn't be able to find them. Although, you can try Battle for Wesnoth, which is a pretty cool free strategy game.
Also check out fallout 3, and fallout new vegas. They are made by the same people that made oblivion.
Fallout 3 was made by Bethesda, but FalloutNV was made by oblivion (the company, not the game).
As for a good strategy/RPG game you might want to look into Dragon age Origins
I actually destested that game, even though I'm a big Rpg fan. I'm really more of an oldschool gamer so my favorite games are much less recent...I do have a recommendation however, as Disgaea 4 is coming out on the sixth of september!!!! It's going to be A-mazing!
TES:Oblivion is really nice (isn't on retail shelves, though), The new Skyrim looks awesome to say the least, and all the Fallout games are decent mixes of action and strategy/rpg. Not sure what you deifne as 'strategy', but for military strategy I always play one of the numerous Total War games; I've never really liked any of the other games that claim to be strategy, except a few exceptions which I don't recall right now.
