While many of these suggestions are good, I don't think they are "modern fantasy" in the same way that FF8 was. In fact, I'm having trouble thinking of ANY game that fits that bill. The thing about FF8 is that it's culturally and technologically so close to our reality, while being subtley different, and with magic. It's not supposed to be earth, or even our universe, really, and yet it feels very familliar. Where-as many of the games suggested here ARE supposed to take place in our world (Persona, TWEWY, Parasite Eve, etc), but with some mysticism thrown in the mix. Steam Punk RPGs still tend to feel very fudal in their cultural makeup: FF6, Lost Odyssey, FF12, etc. They're basically medival fantasy, but with steam machines thrown in the mix. Very different from FF8, which features modern society with a few magical things thrown in.
Shadow Hearts is a little closer, but it's historical fiction, so it's kind of a different genre, itself.
Skies of Arcadia isn't anywhere close. It's an exceptional game, and it does paint it's own style of culture/technology besides Medival, but it's decidedly age of exploration mixed with WWI steampunk thrown in the mix. It's a sea-faring game, that's not a modern concept, and a lot of the cultures are based off of historical groups: Spanish imperialism, German scientific advancement, Carribean piracy, south american triblism, Arabian theocracy. It's a world of cherry-picked historical cliches. It's light, fun, and very unique, but nothing like modern reality.
I'm also hearing quite a bit of cyber-punk/dystopian near-future games like FF7. While somewhat similar, their bleak tone makes them more stylized and dissolutioned, and they feel much more removed. Sci-fi as well.
I just can't think of anything that blends modern-day culture and technology so closely to reality, while remaining alien. Day to day life in FF8 seems very similar to our world: high-school, modern nationalism, mass transit, presidents and dictators, ect. But outside of day to day life, there's magic and high-technology. I, too, would love to see a game that does something similar.
Wild Arms 2 strikes me as one of the closest. It's got a kind of WWI era technology level, a bit of Wild West (not as much as some of the other games), and a touch of medieval knights and chivalry feel at times, but it's one of the closest things I can think of.