PS2: You've already played the best PS2 RPG - Shadow Hearts:Covenant
The only other must play RPGs for PS2 are FFX and Kingdom Hearts 1.
PS1: FF Tactics (I hear the PSP version is basically the same but I don't own a PSP so I can't say for sure)
Gamecube/Wii: Baiten Kaitos and Paper Mario: Thousand Year Door
GBA/DS: Mario & Luigi Superstar Saga and Fire Emblem (either one)