I know I've posted in a couple of places that I've never really been into FPS games; it seems like there's always something that doesn't quite work for me. I've found a game that works for me now, though: F.E.A.R.2. for a combination of reasons I've played it longer, and have more intention of finishing it than any recent FPS.

For some time I thought that the reason I never finished, or much enjoyed an FPS was that the character never really changed beyond getting upgraded weapons.
Maybe I just didn't play them long enough, but playing Halo3 and COD4 after borrowing them from my brother-in-law seemed to bear this out. After messing around with both of them for probably a couple of hours each, I cased them back up and handed them back over with a sort of shrug.

I also tried the first Bioshock; that one I lasted for at least as long as Halo and COD4 put together. Even then, even there, even with what at first glance seemed to be an upgradeable character, I didn't last. I don't know how far into the game I was before I quit, but I found myself running around a garden looking for a widget when I realized I didn't want to play any more, and for a few reasons.

• I wasn't really upgrading my character, I was just getting more and better weapons.
• I didn't care about the story; here were these people in this little self-contained world, fighting a little war that only they really cared about.
• The combat just wasn't doing it for me. Maybe it was the lack of dual wielding in a place where it seemed like it should have been obvious.

• A story that I'm invested in beyond "go here and shoot things because that's your job". This is one of the reasons COD lost; I didn't care. It's very possible that if I had played the first 2 Halo games, I would be more invested in the story, but starting at 3, I wasn't that interested.
• Environment. I like urban settings more than I thought I would. This is part of what kept COD going as long as it did; something about door to door fighting, sniping, etc. is apparently what I need.
• Pacing. I like something a bit methodical. Maybe deliberate is a better term; enemies should move around an area in a way that seems realistic. I don't mind getting rushed a bit from time to time, but I like it when the enemies react to my shooting them by at least pretending to re-think their strategy.

hunh. well have you played f.e.a.r. part one?
 
fallout 3 is 'kinda' urban, but not the greatest as a shooter. still, the freedom might appeal to you.
 
also apparently crysis is gonna have some washington parts (read that on the cover of some mag) so you could look into that as well.

Rainbow Six vegas is completely urban fps.
And you can sorta follow the story. I dont know if there is a demo for that, but you can try it out and see what you think.
 
And I also couldnt get into Bioshock, I know its supposed to be great and all, but I also guit after the gardens area.

FPS games in an urban setting with a good story? Hmm, good luck with that :)

Play the Half Life series. Those are FPS's worth finishing. Also, have you ever played Chronicles of Riddick: Escape from Butcher Bay? Very underrated game.

Plus, not every genre is perfect for everyone.  Like you have a hard time finding an FPS, I hardly ever find a JRPG I enjoy.

Yeah i love the FEAR games.

As much as I love FEAR 2 it really can't see why it would be the one that you choose. Its really short and really easy. even on the hardest difficulty you can run straight at enemies with the assault rifle and never run out of medpacks. Even in the city areas you either have to get back into buildings or are piloting the mech. and the last two thirds you are in an underground research lab. In fact, now that I think of it you are in a medical research lab through out the entire game. They only look like civilian areas. So maybe its just the polish of FEAR but its definitely nothing that hasn't been done before. 

" Rainbow Six vegas is completely urban fps. And you can sorta follow the story. I dont know if there is a demo for that, but you can try it out and see what you think.  And I also couldnt get into Bioshock, I know its supposed to be great and all, but I also guit after the gardens area. "

Also, the Ghost Recon Advanced Warfighter series has a mostly urban setting (minus some mountain levels) and slow paced minus a few epic firefights.  Ghost Recon is also about as deliberate and tactical as you can get on a console...  

It seems that a lot of the Tom Clancy games are basically urban combat, almost all of them, even the splinter cell games, have the properties of methodical pacing and interesting stories. If you didn't care about the pace being slowed down for some tactical flair the Modern Warfare series would probably be the best bet. Almost everything else I can think of are old turn-based PC games from the nineties.

Halo 3 ODST 
Fallout 3 
Bioshock 
 
Cmon man its not THAT hard.