Team Fortress 2. Easily my favorite multiplayer game out there. With nine distinct classes to choose from and multiple unlockable items for each, chances are good you'll find something that fits your play style. Also, the game has a great sense of humor. It's one of only a few titles I can think of where my character's death has prompted straight-up laughter from me. The community's pretty friendly to boot.
Killing Floor. A polished and entertaining co-op zombie shooter. Folks like to compare it to Left 4 Dead, but I don't think it's a fair assessment, as its gameplay mechanics are vastly different. Basically you earn money from killing zombies (or "specimens" as they're known in-game) to buy better weapons between waves, which in turn helps you survive more deadly adversaries. If the team survives, the map culminates in a boss battle. Before each map begins you're given the chance to pick a "perk," which is similar to character classes. Over time, you can level up these perks by meeting certain criteria (usually just playing your assigned role gets the job done) that will improve the perk's effectiveness.
Monday Night Combat. Much like Killing Floor and Left 4 Dead, folks like to compare this game to Team Fortress 2. Again, I'd say that's not really fair, since they play very differently (the only big similarities are the visuals and humor). Set in a whimsical-with-dystopian-undertones future where televised arena combat is all the rage, two teams of clones try to defeat the other team by escorting combat robots to the enemy's money ball and destroying it. There are six different classes, each with vastly different roles, skills, and weapons. Gameplay is kind of a cross between Star Wars: Battlefront and DOTA.
Warhammer 40,000: Dawn of War. These games truly capture the crazy, grimdark awesomeness of the Warhammer 40k universe. First one or the sequel, you really can't go wrong. I personally prefer the first game though, as you can field more units into battle. It's probably my favorite RTS of all time in fact, as the focus is more on battlefield combat and fielding a well-balanced army instead of spamming single units. I would recommend getting Dawn of War: Platinum Edition, as it includes the first two expansions, Winter Assault and Dark Crusade. These expansions add a grand total of three new factions (on top of the four existing ones) and are extremely well-polished. Stay away from the Soulstorm expansion though, that one is decidedly sub-par.
Those are my top recommendations. Keep an eye on the main store page, as Steam likes to have weekly sales where you can get quality titles for real bargains (usually anywhere from 25-75% off).
Or Garrys Mod and HL2
