I stopped at Battlefield 2. I don't play online and the single player game is way too short. It also has the checkpoint type of save, which causes me to have to repeat the game over and over. That gets old. I just refuse to buy anymore of the Battlefield and Call of Duty games.
I'm looking at maybe buying some of the Assassin's Creed games. I know they are 3rd person shooters, but I hope the game has a way of saving my progress rather than the checkpoint system. It seems like all the games right now are set up that way. Borderlands and Borderlands 2 are set up that way, but their checkpoint system is a lot better than what I have encountered with the Battlefield games and Space Marine.
Assasin's Creed uses check points.
Have you played the Elder Scrolls? Oblivion and Skyrim are both top notch. And yes, you can save any time you please.
What about Deus Ex: Human Revolution? Phenomenal game.
Also, the Witcher 2 is a great game, but does use check points.
If you want to get sucked into a game for endless hours, then Fallout 3 and Fallout New Vegas are the ticket. You can save when you want. They are third or first person, your choice. Many RPG elements, but also shooters. They can be REALLY hard, but you can also avoid much of the combat if you like.