I'm currently playing a F2P game called Holic Online. It has a pretty decent quest system and a little
depth if you can get past the bad translations as it's currently in Open Beta.
If you're looking for a P2P game with lots of depth then look in to World Of Warcraft.
Most P2P games are good about having some depth though so just browse around.
EDIT: Another game that comes to mind that will have lots of depth is Age Of Conan.
It will be released in the next few months.