If you like RPGs I'd recommend the Gothic series and Knights of the Old Republic. Jade Empire is another good one from Bioware, though it's short. Neverwinter Nights is a vast treasure trove of D&D goodness. Both the Vampire: The Masquerade titles (Redemption and Bloodlines) are good but flawed, though there has been community efforts to fix the problems left in the game by Troika after the last official patch, and they've mostly succeeded with everything major enough to matter. Bloodlines is running off the Source engine (Half Life 2), so it still looks quite nice and of course it's an RPG, so it runs circles around Half-Life's story. Arcanum: Of Steamwork and Majick Obscura is another good game that doesn't quite match the excellent turn-based combat of Fallout, but it does feature dwarves with guns and the conflict between magic and technology (you can turn junk into all kinds of interesting gadgets).
For 3rd person shooters there's titles like Max Payne 1&2, and the Hitman series (brilliant). Bloodrayne and it's sequel are something of a guilty pleasure: they aren't all THAT great but you can impale somebody and spin them around, slicing off all of their extremities like you were shaving a block of cheese (or split them up the middle like Wesley Snipes did to Ron Perlman in Blade 2), so that's nice.
RTS games I haven't been into that much these past few years, apart from the Dawn of War series which has been mentioned already. Dawn of War is probably the first title to actually FEEL like the Warhammer 40k setting, even if it's not abiding by any of the rules.
For the FPS games, try to dig up a copy of No One Lives Forever and it's sequel, as they're fantastic and hilarious all at once. F.E.A.R. is another excellent game by the same development team, though that's more recent and requires a heftier rig to run properly. Another good one is Aliens vs Predator (also Monolith). Jedi Knight is a mixture between the 3rd person and FPS gamestyles, and it's uniformly excellent. Soldier of Fortune is also great, and very very violent.