I'm going to go ahead and say that the Call of Duty series is the best FPS series I've ever played.
Call of duty 4 and Modern warfare 2 are by far the most addicting games I've ever played. Online is an absolute blast and will keep you constantly on the edge of your chair/sanity.
Cod:Waw is alright, but it's just a WW2 version of Cod4.
If you have the money, go for modern warfare 2, but it may be a bit to expansive for you if you've never played cod4, seeing as it has at least 4x the amount of content that cod4 had. I'm sure you'll catch on though.
If your short on cash, Cod4 will suit you just fine
The storyline's for both Cod4 and Modern Warfare 2 are movie-worthy.
And to prove to some people that I'm not a cod fanboy, I find that Halo 3 is an awesome game too, but the online play is a tad repetitive, and is very easy.