I'm a huge FPS fan too, although I just checked and I didn't realize almost all my retail FPS games (except the BF series and Rogue Spear) is mature, some of them I don't think really deserve such a controversial rating.
Anyway, the Battlefield series is my recommendation, especially BF1942 (it's my all-time favorite FPS).
Most games also have demos available online, I recommend downloading from
FileFront.
Favorites with demos available:
Battlefield series (Teen. Great because you can fight just about any way, just like real war but more fun!)
Rogue Spear (Teen. A tactical strategy FPS SWAT game with great multiplayer, a favorite back when the MSN Zone was popular. I got the Platinum Pack from
DirtCheapSoftware for about $15.)
Raven Shield (Mature. Much like Rogue Spear but better. I got it from
DirtCheapSoftware for $8!)
Unreal Tournament series (Mature, mostly only because of lots of blood and gibs. I like UT2004 most since it has loads of maps and stuff including all the ones from UT2003)
Half-Life series (Mature. I like HL2 better mostly because of the weapons.)
Quake 2 (Mature, lots of blood and gibs like UT. It's another favorite, I like the classic style.)
XIII (Mature. Good single player, but the multiplayer is really low on features although still fun)
That's all I got for now, I'm probably forgetting some old ones in my stash.