IMO, the CRPG with the best story has always been Super Nintendo's
Final Fantasy III (or Final Fantasy VI, in Japan.) It has become the standard by which I compare all others.
[SBLOCK=FF3 Spoilers ahead]I love how magic is presented as a mysterious, dangerous force of nature. The struggle to control it is presented in a very realistic manner: if such a power existed, I would fully expect the military to attempt to use it as a weapon. Which is what happens...The Empire begins experimenting with it, creating all sorts of horrible aberrations and enhanced soldiers, eventually opening up a gate to another world to steal more magic.
I love the steampunk/magitech technology level. I love the villain...his madness is both campy and disturbing, obviously inspired by the Joker.
The storylines are simple enough, but they build upon themselves well enough that you totally get drawn in. But for all of its simplicity, it presents a lot of issues that were quite mature for the time...things like abortion, suicide, murder, and genocide.
I could go on. For days.

[/SBLOCK]
My second favorite would have to be
Wizardry VI: Crusaders of the Dark Savant. I didn't particularly care for any of the other games in the Wizardry series, though.
[SBLOCK=Wiz7 Spoilers ahead]I think the reason why I like this game so much is because of how HUGE it is...it had more races and classes to choose from than any other game of its time, and it was a lot less linear (less "railroading") too. And the game setting (an entire planet) was incredibly detailed. It wasn't just another place to kill stuff; you could interact with it in game-changing ways (even to the point of making the game un-winnable.)
The war of the T'Rang vs. the Umpani...the origins of the universe, and its mysterious creator...the high-tech, futuristic weapons...space travel...if you love Spelljammer, this game was right up your alley.
The story was smart and well-planned, and the NPCs had depth and style. It was like the writers took the old "save the world" plot, and cranked it up to eleven. I wish today's CRPGs were half as detailed as this one...if they were, I would probably start buying them again.[/SBLOCK]
I had long hoped to find a D20 setting developed for these two games, but it doesn't look like it will happen. (Although I've got my eye on Final Fantasy Zero...) Guess it's up to me, now. :/