You should play Bioshock 2 as well. While it's not as impactful as the first game, it fixes a lot of the problems that the original had. You're able to duel wield plasmids with weapons, which makes the action way more satisfying. The plasmid upgrades are also way cooler. There are way more enemy types, meaning that combat can get really interesting. The Big Sister fights are particularly fun. I enjoyed the hacking minigame in the original but this one is much more fluid and it doesn't take you out of the action. The game also doesn't lose any of its steam during the last few hours, which is the main problem with the first Bioshock (I think Ken Levine said this was mainly due to the suits and he wanted the game to end way earlier). Anyway, I remember feeling much more satisified with the final sections of Bioshock 2 than with Bioshock 1. I still prefer Bioshock 1 but I think of 2 as being the Aliens to Bioshock's Alien. It's not as groundbreaking but it's a damn good sequel.
You should also play Minerva's Den i you get the chance. I'd say it's on par with, if not slightly better, than the main game.
MGR was the only Metal Gear I had played outside of MGS2 at the time (I'm working my way through MGS 3 now though) but I really enjoyed it. It's a great action game made by the best action game developers out there.