The closest thing I can come up with is Deus Ex. It has some RPG elements to it, and you might like it. I'm a FPS buff, but Deus Ex really sucks you in.
....... Max Payne is not 1st pesrson, but it's really cool,(all that bullet time thing). An' I don't think there are any good 1st person RPG's, 1st person games are usually shoters (FPS). But some cool, 3d person RPG's are: Baldurs Gate2, Diablo(1 an 2), Ultima...
I'd have to say System Shock 2 and Deus Ex. Both are FPS with RPG elements but their quite good and best of all you should eb able to pick them up fairly cheaply.