I'm looking for that rare feeling of being way far underground with no option but to press on.
Flat levels connected by teleporters disguised as steps, etc. are disqualified. (Fate would win easy as it has an infinite number of these.) Also disqualified: Any dungeon that would win because of a ridiculously long drop or elevator. (I'm looking at you, Serpentshrine Cavern.)
- I remember an awfully deep one in Morrowind which was full of robots and seemed to go on forever, but covering ground in that game can take a looong time so it may have been an illusion.
- EverQuest had some pretty involved and intricate dungeons - Guk and Kurn's Tower come to mind - but their physical depth was mostly an illusion.
- I remember descending a lot in Dungeon Siege, and always on a ramp or an elevator, never a portal. What's the sequel like? I remember the demo being so obnoxious I wrote the game off.
Bonus points for friendly NPCs to chill with and no easy transportation to the surface or within the dungeon. Double bonus points of course if it's something I can buy here!

Hmm, deep dungeons, far underground, no easy way out, npc's to chill with, the game that all these things echo to me would be..... Stonekeep. One of the greatest dungeon crawlers ever conceived by a human mind in my opinion. And yes, you can buy it here :)

Better still, you can get a free game with it too!

Nethack. :)

Stonekeep is seriously that good? Not good in the same way I think Blood Omen: Legacy of Kain is mankind's greatest creation, but as in all good people love it to death? No teleporters?
Nethack is all about teleporters btw! Excellent game though. Man now I'm starting to miss Dwarf Fortress. If I hit my head against that game long enough will I become smart enough to play it?
Stonekeep, eh? I read some pretty meh reviews for that one, but don't think I'm being contrary. I am on the verge of buying it.

Mordor: The Depths of Dejenol.
The full game does require payment though, unless you're a scurvy ridden pirate.
There is a fan-made version in the works, but it's still a ways off completion.
Mordor linky and also [url=http://en.wikipedia.org/wiki/Mordor:_The_Depths_of_Dejenol]wikipedia entry[/url]
Mordor XP linky

You become smart enough to play DF once you realize that it's not a game to be played, but a simulation to experience and observe and control. ^_^
Also Ultima Underworld seemed kinda deep to me at the time, but I don't remember if it teleported or not.

Nethack maybe? :D

No one has suggested the buggy yet awesome Arx Fatalis. Asses. =)

...Did you intend for that to sound dirty?

Shame you want an RPG or I'd suggest Tomb Raider
For actual RPGs, I'd probably have to go for one of two, Ultima V or Neverwinter Nights: Hordes Of The Underdark for fairly similar reasons.
You end up going through a fairly large and dangerous dungeon only to be let out into a vast underground complex that makes the previous dungeon look both small and safe
I guess technically you could exclude HOTU since it wasn't a straight progression from undermountain to the underdark but its not like you had much choice in the matter

diablo 1 with no town scrolls?

It sounds to me like you're looking for a megadungeon game with completely streaming content and full 3D environments. Is that accurate?

Thanks everyone for the suggestions.
I loved the original Tomb Raider. With some trepidation I bought the remake on sale a few months ago and it is a lot of fun. The new moves are satisfying to chain together, the levels are beautifully put together, it sounds great, and best of all it's really just an homage to the original. The details of the level design and puzzles are different. It's pretty much exactly what I want from an RPG.
That, and the no teleporting between levels thing. It surprises me that so few modern games have jettisoned the whole Gauntlet model of discrete maps stacked on top of each other and separated by loading screens. Asheron's Call 2 was 7 years ago now. Shadow of the Colossus is even getting on in years. Can't we do away with all the teleporting? Or at least fudge them a bit more convincingly!
To that end, I'm first going to take another look at the Arx Fatalis demo. I remember giving up on it out of irritation rather than dissatisfaction. Probably I was just in a lousy mood. I watched a few gameplay videos and it definitely seems to have its heart in the right place as far as the whole descent-into-darkness thing is concerned.
Edit to Mentalespy: That's pretty much it, except I don't really mind if it's 2D. For instance there are part of Diablo where the illusion of descent is compelling within a given dungeon. Titan Quest (which I realize is 3D but didn't necessarily have to be) has gone without loading screens for as far as I've progressed through it, but it mostly takes place in the outdoors.