The best 'new' FPS game I've played was probably Farcry 3. It's similar to rage, as in you got a giant freeroaming world and can go around doing missions everywhere, got an inventory and can collect stuff to sell at the store. But the core of the game is an action shooter. (you also don't need to play the first two games to get this game, as it has nothing to do with them).
It's basically a free roaming action shooter with RPG elements. (you got a whole skill tree and level up as you kill dudes and stuff).
Dishonored is pretty damn good too, IMO. It's a FPS game Published by Bethesda (not developed), and it's got RPG elements. It's more of an action stealth FPS with RPG elements. (though you don't have to play stealth at all).
Then there's the bioshock games. They're similar to rage's style as well, giving you RPG elements, an inventory, money and all that. Not exactly free roaming, but the game has some intense level designs.
I haven't played the new bioshock, bioshock infinite, but Bioshock 1 and 2 are really awesome games, IMO. You can download them online for pretty cheap, or pick em up at a bargain bin at the game store for even cheaper.