If you are looking for a challenge from a more modern FPS game, try the COD: World At War campaign on Veteran difficulty.  Just be ready to die....alot.  It requires lighting quick reflexes and a ton of patience, but you should finish....eventually.  I almost cried when I finished this nightmare on Vet

Duke Nukem Forever also serves up an old school spanking on the higher difficulties. Even easy on DNF can be a challenge.

If that isn't enough, try Ninja Gaiden 2 on xbox 360.  That will serve you up an old school fighting game style a$$ whooping like you've never seen before.  30 minutes of that will have you wanting to take the game disk and throw it at the wall like a ninja star.  No, I haven't finished this one, but it's in my backlog of games.

If realism is your bag, try Red Orchestra 2.  This game shows you just how real actual war can be.  I felt humbled after playing the first few missions of the campaign.