When you discuss FPS games, it's important to make the distinction of whether you prefer to play that FPS single player or multiplayer, IMO. Some games (like Unreal) are built around the multiplayer experience, so of course they are going to suck if you prefer single player FPS games.

As for me...

Single Player:
- F.E.A.R. (It wasn't scary like everyone said, and sure, bullet time has been done to death, but I dunno... it was the first FPS I'd played in a good long while that I actually felt compelled to finish. It was just plain fun shooting crap up in this game. The plot was alright, too, and I liked the ending.)
- Half Life 2 (The first half of Half-Life 2 isn't all that spectacular, but the second half certainly is. It creates an "experience" like no other FPS I've played. You really feel like you're in the middle of the struggle against the Combine, and that's a fairly awesome feeling.)
- Goldeneye (Back in the day, I played this game to death. While I can't really play it now, because the graphics make me sick, I unlocked all the codes for this game the legitimate way. That's how much time I wasted on this gem.)
- Perfect Dark (Not as good as Goldeneye IMO, but still pretty fun.)

Multiplayer:
- Day of Defeat: Source (I loved Day of Defeat 1.6, and I think Source makes the game better. Initially I was put off by some of the guns they removed, but I got over it. The way the Source engine handles is more suited to the type of realism that DoD tries to emulate, but it still retains enough arcadish elements to be captivating.)
- CounterStrike: Source (As a pub game (that is, a public server game), this game is terrible. The econ system is broke, the learning curve is steep, and hacking is way too prevalent. However, I've got a team together and this game can be quite fun as a serious competitive game. Of course, you still have to put up with lame ass hackers and that sort of thing, but this game is designed to be played in a serious competitive setting.
- Unreal Tournament 2004 (This was one of the first games that I seriously got into on my PC. If you're a newbie to the game, it can be very difficult to learn how to play, and not much fun at all. However, I was lucky in that I had several friends from my local LAN who were very good at the game and showed me the ropes. There are a ton of nuances to the game, and the community is much better than any other multiplayer game I've played. That's probably due in part to the fact that the community is so small, now. This is one of the few games that I can play and be crushed in and not care -- it's still fun for me to try and improve.)