Depanding of your favorite RPG game, two suggestions for a visit in Paris :
D&D : You must try to visit the catacombs ! Undermountain is a joke... Of course it is somewhat a little illegal, but various organization of cataphiles do exist, and I'm sure some of them have a website. (search keywords catacombes or cataphiles). There are hundred of kilometers of underground passages under Paris, an underground lake just below the Opera... I think it's really a must for a D&D gamer (don't worry about the skeletons, these one are not animated, and you won't encounter any liche, but you will have a very good feeling of what is an age old underground complex.)
Call of Chtullu : the Louvre is very interesting. Just have a look upon some of the sumerian antiquities (I remember a black stone covered with cuneiform writtings : very impressive.)
Elsewhere in France
*Huelgoat : don't believe english propaganda, this is in THIS wood in Brittany that Merlin (or Arthur ? I don't remember

) is kept prisoner. In another remnant of the Broceliande Forest (where entire roman legions have disapeared), you will find the "Val sans Retours" (which means something like the "Dale without way back") There compass are somewhat jammed...(a magnetic anomaly). Lots of Dolmen and Menhir elsewhere in Brittany (Carnac...).
*Versailles : you won't be pestered by the hords of tourists in winter. Of course you probably won't see the "Grandes Eaux" nor the special animations made for said tourist in summer, but it's worth visiting. If you like 7th Sea...
*The Mont Saint Michel : another medieval marvel, located at the boundary between Brittany and Normandy. Visit it in winter, but never go there in summer if you don't want to feel like visiting Tokyo's subway.
*Lascaux : (really) beautiful painting, age 25 000. South East of this place, you will found the "gouffre de Padirac", one of the deepest pit in Europa (IIRC).
*Carcassone, Fougère : medieval fortified cities (the first being the greatest).
*The "Parc du Gevaudan" : a Nature reserve, reknwowed for being the home of the Beast (if you have seen brotherhood of the wolf, you know what it is). There is a "zoo" dedicated to wolwes there.
There are many other strange or interesting places, and if you add Italy, England and Germany...