Clive Barker's Undying- one of the best FPS I have ever played. It's on PC, and it is far far superior to Clive Barkers Jericho game. It has a wonderful horror-like atmosphere, cool game play, great sound effects, etc.
Then there is Anachronox, also for PC. Gameplay is similar to FF7, but it's got an epic storyline with a lot of humor in it. For example you can get a drunken mexican super hero in your party. This game is on steam.
Then you have Phantom Dust on the xbox. It's just a really awesome game. A very unique game, I've never played anything like it.
Also on xbox is Breakdown, a FPS. Has an interesting storyline and does super powered fights quite well for a FPS.
I also think Vampire the Masquerade Bloodlines didn't get the love it deserved. I love the World of Darkness and that is one of the best vampire video games I have ever played. It truly captures the look and feel of the World of Darkness.