The most complicated RPG I own is probably Living Steel. It believes in positively excessive detail. Apparently GURPS 4th ed can get even more complex, but I don’t own that. However, I’ve only ever skimmed Living Steel, never tried to play it, and that was many years ago, so I’m not sure it really counts. I wouldn’t even own it if it weren’t legendarily over-complex and something like $4 in a discount bin.
The most complex game I actually have played—and would play again (though never run)—is Spycraft 2.0. It gets kudos for an amazing amount of detail, giving you all sorts of interesting options and sensible mechanical interactions, while still being well structured, well explained, well organized, and with an amazing level of internal consistency. It feels less complicated than many games with half the volume of rules. Heck, despite the significant number of feats, it even feels less complicated than some games that are significantly simpler in theory, but whose rules are basically all exception-based.