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Story-wise, Orange Box would be a good choice, especially end of HL2: Ep2 which was really well done. Bioshock as well has a good story that kept me entertained. CoD4 is very good in terms brilliant set-pieces that make you sit back and go "Holy shit!", but is also a little on the short side.

If you want a brilliant campaign I can't completely recommend Killzone 2 or the Resistance games. The campaigns are good, but they lacked some magic in the single player mode. Also the campaigns are again quite short, although gameplay wise they are still fun. If you can get them cheap though then go for them.