MDK-It has its fans, and did well enough to get a sequel (Which was great too BTW), but it never got the love it deserved. Had great gameplay, fun weapons (The world's most interesting bomb FTW!), and was very funny.
Dead to Rights-Many folks write this off as a Max Payne knock off, but honestly I had more fun with this game than I did with Max Payne. IMO, it did a better job of capturing the feel of a John Woo style gun fight than Max Payne did. Not only could you dive in the air is slow-motion, but you could also perform disarming moves on bad guys, or use them as human shields. This game does a great job of making you feel like you were the star of a action movie.
Shadow Warrior-This game was made by the same guys who made Duke Nukem 3d. Its also one of the funniest games I've played from the dialog ("You are so stupid! You cannot find @$$ with both hands!"), to some of the secret stuff you find. For example, you can find the killer rabbit from Monty Python and The Holy Grail, and yes you can use the holy hand grenade of Antioch on it. Not to mention you can use a nuke as a weapon.
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"I never lose. Not really."