I would buy that game Yahtzee describes, if it was made, almost no matter what the price was. It sounds awesome.
The closest I've seen in a mixture of FPS and RTS so far is a Half Life 2 multi-player mod called "Empires" which is pretty fun and cool. You start off choosing a team and a class, then picking a "Commander" on your team. The commander gets a special upgraded interface that helps out with commanding everyone. Everyone else has the standard FPS interface. You start out at a Barracks (spawn point) and go from there. Scouts and other players are offensive, and the Engineers help build and repair stuff, though they're not too shabby fighting, either. (The Engineer class is the quickest to pick up for newbies.) Engineers can build Resource Processors (which slowly build your economy, more Barracks, Vehicle Yards (which allows your team to build vehicles, which can be driven), Repair Yards (repairs vehicles) walls, sentries, and probably some other stuff I'm forgetting. There's also some RPG elements to it, in that you can level up and choose different skills to help you out, and you can customize vehicles built. The Commander has an interface that can do some simple ordering, like "Attack here," "Move here," "Defend here," "Build Walls here," etc. and the stuff pops up on the players' minimaps. Players can also self-segregate into squads, and the Commander can order specific squads to do different things. The Commander also gets his own special Commander Vehicle at the start, which is an upgraded version of the most advanced tank available. The Commander can also do research with the resources you're collecting, to upgrade vehicles. You start out with just being able to build a Jeep. The Commander can then research various things, like various sizes of tanks, or this thing I forget the name of, but looks like a Hummer with machine guns on it. The Commander can research different weapons and armor, like Bio-Weapons or Anti-Radiation Armor, or even engines with better performance.
Now, here's where the fun comes in. You can do what you want, really. You can steal the Commander Vehicle and drive it around. You can disregard orders and do your own thing. I remember one game where this guy decided to go into the Vehicle Yard, build a Jeep, drive it out over a ramp, jump out in mid-air, and run back and do the same thing over again, slowly creating a makeshift wall out of them. The Commander of that round said over voice, "STOP SPAMMING JEEPS! Just BUILD a REGULAR WALL!" The game format keeps you grounded in team-based tactics, though, because if you all of your team's Vehicle Yards are destroyed, you can't build any more vehicles. If you don't protect the Barracks, you can't spawn anywhere once you die. (Multiple Barracks can be built, as well, and you can choose your spawn point, if so.) If your Radar Dish gets destroyed, all you're left with on the mini-map is what you can see in your field-of-view, which is pretty much pointless. If your Resource Processors get destroyed, no more research can be done and no more vehicles can be built once the current amount dries up. Plus, the enemy can go build their own Processors, Yards, Barracks, etc. on the same spot after a few minutes to deny you from rebuilding.
One memorable game will explain pretty fully how this all works together beautifully. The game was pretty much at a stalemate, with my team owning slightly less than half the board. Each team owned half the Processors, and both teams were at a stalemate along 3 different bridges connecting the two sides of the map, and the island in the middle. (It's a hard layout to describe, really.) Anyway, the Commander was ordering me to defend the northern bridge, which I did for a while. His strategy was working, because we had the technological advantage, but it was going very slowly. We'd kill some of them. We'd push in. We'd hit their sentries. We'd get slaughtered. While we're respawning, they'd push in, killing the rest of our guys. They'd hit our sentries. They'd get slaughtered, just in time for us to show up and wipe the rest of their guys out before we hit their sentries, and so on. I got tired of this after three or so rounds, so instead of making the medium-sized tanks that everyone on my team was getting, I grabbed the lightweight Jeep (which has no weapons, mind, though I did trick it out with some armor) and zoomed out onto the field. I zoomed through their offensive line with only a few hits. My Commander got pissed, because the enemy started pushing our troops back a little bit each time they pushed, since we had one less defender. I didn't care, though, and I zoomed down to their two nearly-undefended Processors. I took out the low-level sentry guns they had in place. Then, I threw some grenades at the first Processor, and when I ran out, I ran up and banged on it with my wrench until it was destroyed. The second the enemies saw this, they realized something was up, and sent a guy in a tank to get rid of me. This turned the northern battle back into a stalemate. I zoomed over to the other Processor, took out its sentry, and did the same thing, beating the crap out of it. By this point, the tank arrived, and I was running around the Processor, hiding behind it all the way while the tank chased me, continuing to take pot-shots at the Processor until it was destroyed. It was at this point that my team realized it was going to win, because the other team, even though they eventually took me out, had to rebuild their Processors, and I had gained our team enough time to win by going rogue and crippling the enemy's economy to the point where they couldn't build vehicles QUITE fast enough to keep up with us, and every delay cost them ground.
So, I think there's a combination of RTS and FPS at its finest. While it is an example of what Yahtzee said where the commander simply offers "helpful suggestions," it works well at keeping you working as a team, and following the commander's orders is usually a pretty good idea, since he sees just that little bit more than you do. True, games can devolve into chaos, with no one working together, but can't every multi-player team game do that?