Metro 2033, Crysis 2 (not as good as the first, but more story driven, and it's a great game for it is), um... hmm. The Stalker games aren't super story driven, more open world, but they do have interesting stories, and they're great games. I can't recommend them enough.
not really a fps per se but if you liked bioshock and half life then dishonored is definitely worth getting, especially if you like stealth based games. it's not got the strongest story but it's better than most of what's been released lately