This has been somewhat of a heated debate this gen, especially since the launch of FFXIII. Do you prefer games that throw you in a world and give you the option of doing whatever, or do you prefer games where you follow a selected path and essentially let the game assist you in advancing? Examples of open-world RPGs are Fallout and Oblivion while some linear RPGs are FFXIII, ME2 and Demon's Souls.
I personally prefer linear RPGs because I get overwhelmed with the amount of "stuff" to do in open-world RPGs. It's like if you hand me a blank piece of paper and tell me to draw anything, I wouldn't be able to know where to start and how to proceed. I like games that are linear because they normally focus more on actions, thus I prefer linear RPGs.