You mean like SJ and SMTIV....Even Nocturne, while simple, had an interesting story. Maybe you mean living, well developed characters?
I think it's more of a matter of needing a narrative all throughout to keep my interest in a near 100 hour game, or however long they can be. Characters help this too I guess.
Like I said, I still have yet to beat a SMT game because of this, even after owning both Nocturne and Strange Journey. Going to give 4 a fair chance, and probably force my way through it if need be. Still, from what little I've seen, it doesn't tell you the story all within the first like 2 hours like Nocturne seemingly did. I liked Nocturne's premise, and what the characters were there for, but it doesn't mean I find it interesting enough to finish it. If I find myself asking "Why am I playing this" at any point in a narrative, I usually just stop.
I may be wrong, so forgive me if I am, but am I correct when I say that you find out your "purpose" in Nocturne in like the first 2 hours, and then the only "development" you get in terms of a plot after is just other characters making their case for you?