Depends on the game really. First person draws me in way more than 3rd person. I am more able to be immersed in the game in first person. When experiencing a game in 3rd person I just take that view point, "Oh they hit my guy." While in first person I don't have that entity to pass off any surprise, suspense, or emotion upon, which helps me with immersion.
It really depends on how the game is made. Many rpgs are just fine in 3rd person.