My favorite system for this is Ars Magica. Especially since because of the troupe play style you get to play different characters over time, ranging from lowly grogs over companions to the magi themselves.Which ones do you play when you are looking for a deeper RP experience?
I also somewhat enjoy 'Das Schwarze Auge' / 'The Dark Eye' - besides it's easier to find a group playing it here in Germany. I absolutely don't like its combat system, though, it's completely unbalanced.
Then there's our Earthdawn group which is all about the roleplaying but that's not so much due to the system but the DM's preferences. He loves to confront us with difficult moral decisions.