I must agree I prefer the first person, it's the most involved game experience for me. Of course other views have their place and are fun, but I like to be seeing things from my characters eyes.
And for me, 3rd person, or views that pull back from your character to show all around you spoils that feeling of immersion.
I really loved playing Thief: Deadly Shadows, in first person mode. Very atmospheric. The 3rd person mode lessened that atmosphere by showing me whats around corners I couldnt possibly see in 1st person (or in reality) without having to poke my head around. I resorted to that on rare occasions when the temptation to use it got the better of me.
So, ideally any rolepalying game that wants to immerse me in it's world would have to use first person. But the other game views are fun anyway.
