Planescape: Torment. Though I'm probably not the best person to ask since JRPGs make me violently ill.
However, people looking for Western themes in Xenogears should probably look a little closer to Square's home:
http://en.wikipedia.org/wiki/In_a_Grove
If it's depth you want, head for another medium:
http://www.youtube.com/watch?v=IGT24uYPb2Y
Antigone--a really great play, and the joy of this is having a "bad guy" who isn't a "bad guy", his arguments are as passionate and as strong as the protagonist's. Great depth because one side doesn't just roll over and say "I'm the bad guy!"
I would go so far as to say this is probably the best play/movie ever. (but skip the chorus, which is the group of old dudes talking, it was an ancient Greek theater thing that didn't survive)
http://classics.mit.edu/Epictetus/epicench.html
Super short read, but cool since 1) It's about 2,000 years old 2) It's basic stoic philosophy 101 3) it's an easy read that provokes a lot of thought
3rd Party Wall of Shame
http://www.nintendoworldreport.com/forums/index.php?topic=30478.msg581036#msg581036
