Condemned.
Fear (saga).
Metro: Last Light
System Shock 2
If looking for a classic FPS, the there's the sequel to Rise of the Triad which features fairly classic level design inspired by RotT, Doom, etc.
Those are all more or less completely linear games.
Come to think of, there aren't that many open-ended FPS games, apart from what chadz and Patoson already mentioned (STALKER FTW). Perhaps some of the older strategy/FPS hybrids fit in this category, though the FPS element in those is kind of gimped.
I can add A.I.M. and A.I.M.2 to this list - rather obscure, but good russian made games, where you control a gliding thingy around in first person, it is very open-ended and sandboxy.
IIRC, Clive Barker's Undying was somewhat open-ended?
Also, The Elder Scroll games somewhat fit into this?