I love the Final Fantasy games, IX being the first I played and also one of my favorites. However, if you've never played any RPG video games before, they are probably going to be the most overwhelming game you could try first. They are just so LARGE in the whole scope of things.
Try something simpler, but still fun, such as the entire Fallout series (Fallout is a classic, albeit very old graphics, Fallout 2 was ok, and the newest one, Fallout 3, has some great graphics and a really great storyline too). I've heard very good things about the Mass Effect series (1 & 2) however I haven't played them. Star Wars: Knights of the Old Republic is a classic as well.
While the Fallout series, for instance, is still a very large world, it's a little more fast paced and not as annoying to play as the FF series can be with their random encounters.
If these games don't grab your attention, you might just not be an RPG guy
Nothing wrong with that. There are plenty of other games you can play
