Oblivion... awesome.

Where on earth are all the western "you develop the main character", 1st-person story, less-linear gameplay GOOD RPGs at on the consoles?

Don't get me wrong... I like JRPGs... alot.  I have practically every decent JRPG series from the last gen.  Man though... they just aren't on the same playing field as the 1st-person story "western" style RPGs I grew up with.  Did no RPG developer play Ultima?  Might & Magic?  Wizardry?  Magic Candle?  Baldur's Gate?  Fallout?  Oh yeah... Fallout 3...  I guess Bethesda is it for good "western" style RPGs, eh?

Did these kinds of RPGs ever make it in Japan?  Are they horribly unpopular there, due to some cultural difference I don't understand?  I seem to recall some JRPGs that were vaguely moving in that direction (DQ8?  I forget... been a while)... no more?

They take years to develop and have had very little success on consoles.

Elder Scrolls is an exception but there are plenty of others that are available.

On 360:
Two Worlds
Overlord

On PC:
(Some)
Gothic series
D&D series
and many, many more

I don't know about Japan, so I won't comment on that part.

From last year there was Mass Effect also.

This year and beyond there's Fallout 3, Rise of the Argonauts, Too Human(maybe), Fable 2, Dungeon Hero, Venetica, Sacred 2, Alpha Protocol, Borderlands(to some extent), Marvel Ultimate Alliance 2(somewhat), Age of Conan(MMO), Arcania: A Gothic Tale, Elveon, and Champions Online(another MMO).

Fable 2 and Mass Effect will probably be easily the best console-based ones this generation (along with Oblivion). This will only change if Fable 3 and Mass Effect 2 make it out for the 360 as well.