You pretty much named my favourite RPG series: Zelda and Tales.
But the Shining series is also great. I've only played the Tactical games, so I can only vouch for Shining Force 1, 2, and 3 part 1, but it is definitely my favourite tactical series.
Civilization is a great series too, and while they aren't so much sequels, they do have a number of differences between each installment, so it is a different experience with each installment, and not just a graphics update.
War/Starcraft is a good series too, but forget World of Warcraft, and of course Diablo is incredibly addictive.