Two words: Deus Ex. The first one; the second one is inferior, but I've heard it's still a great game.
The Half-Life series is excellent as well, as are the two L4D games, Counter-Strike Source (Beware; you will get your ass handed to you at first.), Team Fortress 2, etc. Oh, and Portal, with all its delicious black humor.
The Crysis games are also pretty fun as long as you can run them at a decent frame-rate; for the best experience, turn everything to the max if you can.
Bioshock is also a damn nice game on the PC, and Bioshock 2 seeks to be even better.
The first two fallout games are worth checking out, too, as old as they are; the same for Fallout 3, or maybe some The Elder Scrolls game; Morrowind and Oblivion, specifically.
The F.E.A.R. series is worth checking out too, though there are better things.
Oh, the S.T.A.L.K.E.R. games are pretty damn good, too. I've never completed Chernobyl yet, myself, though it is actually pretty immerse, I have to say. Just make sure to install all those patches first.
Also, if you're going to get MW2 and haven't checked out the origonal, get CoD4 for the PC, too.