The first thing is to figure out what you want to play. That's what you want to play. There are games that deal with H.P. Lovecraft's novels, Michael Moorcock's novels, the middle-earth of J.R.R. Tolkien, among many others. Next, find a store that sells role-playing games. Ask if they know of any groups that are already playing that type of game.
Many stores keep a list or bulletin board of gamers looking for new gamers.
Chances are the store's salespeople will be able to help you find just what you're looking for. Your biggest problem will be breaking out of the straightjacket that games like Parcheesi, Chess, and Poker have put you in. You make choices for your character as creatively as if you were writing a book. The only thing restricting what your character can do is the situation your character is in. It is also sometimes easy to get into an adversarial relationship with your Editor.