Call of Duty 4: Modern Warfare
Call of Duty: World at War
Gears of War 2
Left 4 Dead
Far Cry 2


More of an RPG than a shooter, but one of the best game ever made IMo...Fallout 3

(Fallout 3 is not online btw) Another good RPG option is Fable 2.

Be sure to read reviews and follow the ESRB guidelines if you are worried about what types of games they are playing.