Direct sequel RPGs

[weasels]

Surprised nobody mentioned the Suikoden series. You might not have the same main characters, but they're all in the same huge world and there's typically always some cameo's, characters that cross over to multiple games and are playable, etc.

EDIT: I guess chupon did beat me to it.

i just picked up the series and all i can say is in the first one the dragon sounds like an elephant! i thank the developers for making me fall off my chair and start cracking up. so far good game (i have played 3 and 4 also, and i can say wasent a fan of 4 and i want 3).

[Ack]

There's also the Arcus trilogy, each of which is a direct follow up to the previous game(an individual party member in the first becomes the lead character in the second and third).

[mobiusclimber]

There's the Ys series, Tales of Destiny I and II (the PSX and PS2 games, respectively, ToD II never got a US release and the game we DID get as ToD II was actually another Tales game entirely), Dragon Knight series (I know II and III feature the same main character, and IV is him as a father but his son goes off instead), and I think some of the Wild Arms games have the same characters, but not sure. Probably more, but that's all I can think of right now.

[Ack]

Also, the Shining Force series, if you include the Game Gear Titles, all follow each other, though Shining in the Darkness comes later.