Orange Box has 5 games in one, although it's really 3. Half-Life 2 and it's add-ons are very fun FPSs. Portal is just a great time, and for online you have Team Fortress which is more playable than Counter Strike, IMO.
You get hours and hours of fun out of this, and you can get it online through Steam, so no bother with a trip to the store. I actually quite like Steam.
http://www.steampowered.com
If you liked Max Payne, Alan Wake looks like it'll be awesome.. it's the same people putting it out. Who knows when we'll see it though, and it's for Vista only.
http://www.alanwake.com/