The Metro games are surely one of the most atmospheric FPS out there. A really good story and neat graphics on top.
The only FPS games that can compete are imho Half Life and Bioshock.
I totally recommend to play those games. Especially because most of them are quite old by now and should be quite cheap.
I've always felt if Valve never got around to making a Half-Life 3, 4A Games should do it. Fortunately, it does look like they are back to making Half-Life again.