JRPGs tend to follow Japanese storytelling and gameplaying conventions. Generally you’ll have a small group of predetermined heroes who’s personalities and fighting skills tend to balance each other out. Usually there’s no way to customize your characters as they gain in levels as all of that is prescripted. The storyline is usually very linear with no choices and it all kind of plays out like a movie or a TV show. Eternal Sonata is a JRPG.
The worlds that are created in JRPGs tend to be detailed and intricate with well developed characters and generally good writing. The plots tend to be long with lots of twists and turns as you progress through the game. The tradeoff though is freedom and customizability.
Non-JRPGs, or (W)estern RPGs, tend toward wide open, explorable worlds. They can feel bigger than JRPGs because there’s more “real estate” that can be directly traveled through. Small parties can be common, but so can the lone hero which you almost never see in a JRPG. Oblivion, Fallout, and Fable 2 all have loner hero characters who are heavily customizable and all have moral decisions which affect the flow the story. The plots tend to be less intricate and they tend to paint in “broad strokes”, if that makes any sense. The reason for this of course is because the pivotal moments in the stories tend to have more than one outcome.
One interesting thing to note about WRPG’s is that they tend to have lots of sidequests, and just things to do which have no direct bearing on the main plot. The property management options in Fable 2 is a good example of this. In Bethesda RPGs, (Oblivion/Fallout), you can shoot straight through the main quest, but if you do that you wind up missing a lot of the actual content.
So, to sum up, in WRPGs you tend to get lots of customization options and large, open, freely explorable worlds, but lose some the finer details of characterization and storytelling.
Caveats: These are only broad rules of thumb and may not apply to any particular game, as there has been a lot of cross pollination between Japanese and Western developers. Also, I want to make it clear that I don’t think one is better than another. They’re just different design philosophies.