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If you're new to tactics. You should start with a game that has familiar characters/settings. Mostly likely, Final Fantasy ones.

Do not start with Rondel of Swords. That tactics game will not let you pass the tutorial, lol.

For RPG, don't start with Etrian Odyssey. You won't last 15 mins.

I found Final Fantasy 4 to be quite easy to get into. It's coming out soon for DS, that might open the doors for you into the RPG world.