here's a small list of inexpensive FPS games I've enjoyed witha brief description:
Thief Dark Project or Metal Age - these are oustanding FPsneaker games in that objectives are completed by "sneaking" and hiding in the shadows more that fighting your way through scores of enemies. the atmosphere of the games is outstanding, but I wouldn't reccomend them if you don't have patience. These 2 games are my all time favorites and can be purchased for under $20
Serious Sam 1 & 2 on the other hand are all kill fests. These FPS games send Wave after wave of enemies at you before levels are completed. There isn't much thinking to do here but if you crave action, you'll enjoy them. Serious Sam is only about $10 and the second encounter is only $20.
Clive Barkers Undying - Good atmosphere to the levels, playing it at night with all the lights off and a good surround sound speaker system can creep you out sometimes. you are equipped with your normal style weapons left mouse button and spells, right mouse button for dual attacks. Not sure of the cost but probably under $30.00.
Wheel of time - Nice selection of spells, good story and level design and it's cheap. $10
Return to Castle Wolfenstein - This game is awesome. i really enjoyed the single player campaign and the Multiplayer is awesome. I can't compare it to CS since I never played CS but have heard that it's as good or better. only drawback is the $50 cost but you'll get your monies worth if you play the MP.
I'll second everything richleader suggested as well and also suggest you check out
www.pcgamereview.com It has many reviews on most gmaes out there.