I brought up this subject when talking about Call of Duty 4, and I think it is a very important aspect to FPS: Limited Ammo. The worst kind of FPS is the kind where you can run and gun and never run dry on ammo. Now, most games do allow you to have a lot of ammo for the basic guns, and most have a pistol or knife that can be used limitlessly, but a FPS should never have a lot of ammo for the big guns. Why? The challenge.
In Return to Castle Wolfenstein, there were SuperSoldats, big genetically engineered soldiers with many fun weapons to kill you with and armor to keep them alive. They are a huge problem if all you have is a SubMachine Gun, but if you have a Panzerfaust (RPG), their armor is blown off and they become mincemeat. Sounds easy, right? Well, if the Panzerfaust ammo was more readily available, then yes, but the usefullness of this bazooka is so great that the ammo has to be kept to a bare minimum even on easy. And believe me, when you find one, you know a SuperSoldat is around the corner.
Having just finished playing Call of Duty 2, I'll use it as an example. In every mission, you are given an initial load out of ammunition that is far from sufficient. You can carry two weapons (though you pick up ammo for any weapons up to your max load for that ammo, or at least that's what I've observed). Usually you start out with one good weapon and one crappy weapon (read: a SMG and a rifle or pistol), and that SMG runs out of ammo fast. If it's a Thompson or other allied gun, you will run out of ammunition very quickly, which is sad because the Tommy sounds so cool. You are almost forced to pick up a german SMG from the first mission because the ammo is so available. The best guns in this game (notably the BAR, Sniper Rifles, and even at times the MP44) are very limited on ammo and require good marksmanship and conservation techniques. Even picking up an enemy gun doesn't guarantee success, as a lot of enemy soldiers carry rifles. Using a rifle in WW2 is a lot like spitting against a fire hose, and I drop the rifle (unless it's a sniper rifle) almost immediately.
The reason I like this sort of a mechanic is simple. If I can run through a map killing everything in sight and not have to worry about finding their dropped weapons to grab ammo, I'll finish the game in a matter of hours, and not pick it up again. However, if I have to shoot straight and conserve ammo, I feel more immersed and will play a mission again and again.