I like both the "go shoot stuff" kind of game and "story" games, but I agree, sometimes being just grabbed by the hand and pulled through the game is kind of boring. The new games that I like are Medal of Honor: Airborne, which is an amazing WW2 game. You can choose which objective to do first, and how you want to go around doing it. I should go play it again. :P I also like Assassin's Creed(Yeah, I know, it's not an FPS). You get the choice to roam around the city and mess with the guards, or you can go and continue the story.

Now, being pulled through the story isn't always so bad as long as it has good gameplay, like Killzone 2. That was a fun game, but there was basically no freedom...at all. You could choose tactics in a battle, but it was basically, what cover do I use and should I flank or just take them out one by one using cover.

I like old school games because almost every one of them has tons and tons of little secrets. Like Duke Nukem 3D. You can activate a toilet and a wall opens. You can blow open a wall to get a jetpack. These games had simple controls and basically one objective...kill stuff and get to the exit.

So I think it depends on what I want to be doing at that moment. Getting immersed into a story with good gameplay to support it, or just having fun and shooting stuff.