I know they have been said already, but CoD 1 and CoD 2, Metro 2033 and Metro: Last Light, and the Bioshock games. If you're open to a more free roaming FPS than play S.T.A.L.K.E.R.
I forgot, F.E.A.R. is good (the first one), and if you can call it a FPS, Condemned is good.