I'm going to second the Oblivion suggestion, but also include the idea of Morrowind as well.
In Oblivion, Bethesda rather successfully simplified the concept of an RPG character development tree making it very easy to follow and track. While not it's not everyone's cup of tea and has been called "Morrowind Lite" due to the simplification factor it is an excellent jump off to the RPG genre.
The graphics are still decent compared to other games.
Gives you a big bang for your buck especially considering that you can find the Game of the Year version of Oblivion, which contains three expansion packs (new major quest lines) for around $10.00.
There are a large number of "mods" available. If you're not familiar with the concept, those are game modifications written by fans and independent developers, collectively known as "modders" that add to or change various aspects of the game. Everything from more people walking around, better looking trees, new quests, awesome (and sometimes overpowered) weapons and armor; the list goes on.
The big thing to remember when transitioning to a genre like RPG's is not to get stressed out about your character getting killed, sometimes repeatedly. It happens and it's not the end of the world, just laugh it off, rethink your strategy and try again. You can also begin the game at an easier level until you get used to combat and then later raise the difficulty. Getting used to keeping revolving saves (i.e. keep three active saves, my personal method) and cycle through them when you come to areas or encounters that may be dangerous or could impact your continued game will also help. Plus there are plenty of folks here that can give you tips and pointers.
Morrowind is the earlier game in The Elder Scrolls series and is considered a classic by most even though the graphics and combat by today's standards is outdated. Even so, it is a very atmospheric game, gives you the back story of the continuing Elder Scrolls saga and like Oblivion can be very inexpensive.
If you are a Steam user, they currently have a sale on both games. Here are the links:
For Oblivion: http://store.steampowered.com/app/22330/
For Morrowind: http://store.steampowered.com/app/22320/