I think Half-Life 2 is probably the most fun I've ever had with an FPS. I really got sucked in to that game right from the beginning. I also enjoyed the original Far Cry, Crysis (or however it's spelled), Deus Ex, the various Rainbow Six games, Quake 4, and of course Halo. I played Unreal Tournament 2004 with some friends on a LAN and had a good time.
I actually met Romero and interviewed him for our movie. He's without question the coolest developer I have ever met. His knowledge of the early days is staggering for such a young person; you can tell he really, REALLY loves gaming (totally unlike some of the other developers, who are only in it for the money).