I'm a sucker for Tactical RPGs.
Jeanne D'Arc is a decent one. Though it is very linear, (most tactical RPGs are though).
Disgaea: Afternoon of Darkness
The ports of the original FF games are always fun to play with. (FF1, FF2)
I'd like to give Brave Story: New Traveler a go. I personally think turn based RPGs are perfect for handhelds when playing on the go, since they are easily set down at a moments notice (They are turn based, after all).
Edit:
Oh, and Tales Of The World: Radiant Mythology was ok. Though the story was very random at times (You get random bits of the story through cutscenes when you zone between areas, and it just seems very random when it happens, and what happens during them).
Edited, Apr 14th 2008 5:27pm by TirithRR
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Can't sleep, clown will eat me.