2004's PS2 and Xbox game The Suffering was excellent FPS horror. A bit of an overlooked classic, even. If you didn't play it, don't worry; you can download the entire thing for your PC right now, for free, and see what we're talking about.
The 1.26 GB file lives right here, and is just waiting for you to install it. Oh, it's definitely "Mature," so be warned. Very violent.