Watch a couple of summaries of the first two Xenosaga games to get an idea of the plot, then play Xenosaga Episode III: Also Sprach Zarathustra. I don't think the first two are particulary good, especially the second one, but the third one is exceptionally well made building off the first two and is in another stratosphere in terms of polish and general quality. It's not only one of the best games on the Playstation 2, but one of the best japanese role playing games ever made.
I'll also recommend:
Shadow Hearts
Shadow Hearts: Covenant
Suikoden V (second best in the series, and probably the most polished of them all)
Tales of the Abyss (this is the highest point in the entire franchise concerning the quality of its writing, absolutely worth it even if you're not a fan of the series - like me)
Dragon Quest VIII
Shin Megami Tensei III: Nocturne
Shin Megami Tensei: Persona 4 (if you don't have access to the Vita version, like me)
Shin Megami Tensei: Persona 3
There are some more i'm forgetting, but you can start with these. Now i'm reminded why i hold the Playstation 2 as one of my favorite consoles ever. The amount of quality exclusives on it is mind boggling.