The term "plot" in RPGs refers to the background of the game and the events that guide the player. Almost all roguelikes have some sort of plot.
This is the least specific plot. A background is not explicitly given, but the game features, such as monsters and items, are often related to each other somehow. A fantasy theme, for example, tends to have magic and melee weapons, along with kings, castles, dwarves, elves, and other mythical elements. Most roguelikes use a fantasy theme, but a few have a futuristic theme.
A complete list of potential themes can be found here.
A background gives the player a goal. Often there is no specific story or events to follow, and the player is free to do whatever he feels necessary to achieve the goal. Almost every game has a background, but very few plots stop there.
A story builds upon a background by affecting the player in some way. The player will have to complete certain preset tasks before he can accomplish the goal. However, aside from a few parts of the game, the player is largely responsible for his fate and determines how he will go about doing things.
The game has a story, but now the player is restricted in the choices he makes. At several points in the game, the player is given a set of options; his choice determines the part of the storyline he must complete next. The game has many preset paths, and the player's choices only minimally affect how the game must be played.
A narrative is a linear plot. This means the player follows a set path, goes through the same maps, levels, and dungeons, and wins the game the same way each time. Many commercial RPGs take this approach. There is very little replay value, but that is compensated by very long gameplay times.
The Big List of RPG Plots (archived version). An article written by John Ross on the subject of creating interesting plots and quests for tabletop rpg games.