Innocent Sin/Eternal Punishment
The Persona 2 Duology, released for the PlayStation 1 in 1999 and 2000 respectively, was a masterpiece of an rpg that stayed my companion throughout an entire year. Taking about 130 hours to complete between both games, it has a complex yet fascinating combat system that kept me engaged. It's not only one continuous story but the gameplay, itself, evolves between Innocent Sin and Eternal Punishment(the former being the easier of the two). Despite only being released on PSP in the U.S. I should point out that you're fully able to play the PS1 fan translation(which is the one I played) of Innocent Sin. For Eternal Punishment, I played the American release although I hope to one day take a peek at the undub version.
The story, itself, spans two games but not in a linear fashion(we'll go into that). It also shares the same characters, you actually get to see the cast of Eternal Punishment in Innocent Sin before they're even properly introduced.