Left 4 Dead is a great place to start as it's easy to play either alone, with friends, with strangers or with other OcUK'ers.
Starcraft 2's a newer release RTS that's become very successful. Worth having a look at if you're into RTS.
If you're into grand-scale RTS, then look no further than Supreme Commander (with Forged Alliance expansion).
Heading back into FPS town, The Orange Box is a must have. Some of the best releases from valve for a great price: Half Life 2, HL2:E1, HL2:E2, Portal and Team Fortress 2.
I'd also recommend getting the original Half-Life with its expansions. It's old, but well worth playing through IMO.
If you're happy with older releases then certainly check out Deus Ex. Probably the best game ever made, and still readily available on steam. Deus Ex 3 is coming out soon, so there's some incentive to give the earlier games a chance
There are so many more recommendations I'd like to give but I'd rather not bog you down so I'll leave it there i think
