Really? If you can, can you send it over? I've been wanting to get Wiz8 for a long time.

If in the UK amazon has some good deals as well.
http://www.amazon.co.uk/gp/offer-listing/B000066725/ref=sr_1_olp_1?ie=UTF8&s=gateway&qid=1249025372&sr=8-1

Could try finding the 2 Ultima Underworld games...

I managed to get both with the Ultimate RPG Archives, which I found on eBay. Was a very awesome purchase I might add. Apart from those, there were Might and Magic - World of Xeen, Bard's Tale Trilogy + construction set, Dragon Wars, Wasteland, Wizardry Gold and Stonekeep. All of them, apart from Wasteland, was first person.

There is also Bard's Tale series if you can find it ..

I really need to go back to Wizardry 8. When I played it I got sidetracked or something and didn't make it past the first few hours, but what I did play of it rocked hard.

Did you play all the gold and silver box games?
If not, you might want to get the "Gamefest" shovelware disc. Out of print, but should be able to find it for less than $20-30 on ebay. It's windows compatible and has Menzoberranzan (sp?) EotB 1-3 and all the really old DnD games. 14 games total. I bought it for the EotB series, which I'm a big fan of.
Personally, I don't like FPRPGs before EotB, but some people love them. Admittedly, they are very well-made games. I just don't like them very much. The graphics annoy me.
Oh, incidentally I'd recommend Wiz 8 too. I, too, keep getting sidetracked. In the States it was only available from Gamestop/Ebgames/Babbages and you can still find copies of it there sometimes in the clearance racks.
Oh, also if no one mentioned it Arx Fatalis (available on here) is good in more recent games if you like dungeon crawlers. It's practically a remake of Ultima Underworlds games already mentioned. Underworlds was re-released on CD at some point, too. Don't remember the name of the collection. Tough to find. (edit: Sheepdragon mentioned it already).

Deus Ex. It's the best FPS/RPG hybrid, hands down. Great plot, tons of customization options (this is a REAL RPG), and pretty damn hard. If you like challenging games, Deus Ex is for you.

Amazing game, but it's not really an RPG - at least not a beardy one like EotB. It's not really that hard either. I'm terrible at shooters and I beat it.
Incidentally, if you liked that game see also: Thief, System Shock 2, Dark Messiah.

Deus Ex was good, but not the best in it's style. SS2 was better, in story and atmosphere.
Granted neither are really RPG's, they just let you customize your character to give you different options on how to play. (Do I go Melee, Long range, run/gun, stealth)

There's also the Dungeon Master games.
Dungeon Hack a 3d first person RPG that changes the dungeon every time you start a new game. Think Diablo ...but this was done before Diablo.
There is also a little known gem of a game called The Legacy:Realm of Terror that fits your Firs person RPG needs. It's a horror themed RPG.

Worth checking out here...
http://www.abandonia.com/en/game/RPG/1st+Person/sortby%3D0

That's basically an RPG. ;)

They tend to lack the questing that IMO is a base staple of an RPG. Also it's not so much a "level up by doing quests, killing, or questing" it's more of a "Ok you got to level 3, pick something new".
The personalities of your character never change, the story line is VERY linear, and the NPC interaction is minimal at best.
Good shooters with a half way decent story, but not a Role Playing Game.