I used to be into FPS myself (too bad it's soo little time for games)
I think I played (and finished)

all main FPS that were made, starting with Wolfenstein and Heretic, Duke Nukem and Terminator - Future Shock and Skynet, Half Life (and variants, like Opposing Force and Blue Shift), Sin and Avenging Angel (I'm not sure if this was the title, it was about a fallen angel that cames on Earth and he fights with regular weapons but during the gameplay he also develops holy powers, like haste, blood bath, brimstone aso.). Oh yes, and Quake(s), Unreal and his sequels, not to mention Unreal Tournament. Loved 2004, can't wait for the 2007. :D
But I was particualrily fond on the Thief series. Although not quite what some would call FPS, as it's based much more on sneaking rather than fighting, I highly reccommend it. It has a nice storyline and the shadows in Thief III are fantastic. :)
I am currently playing Command and Conquer - Renegade. It's quite old now, but I'm into RTS (Real Time Strategy) as well and this game allows you to play the now classic strategy game from a different perspective - as a commando who takes the action in his own very hands.
