I recently bought a PS3 as well. I've had it for about 2 weeks now. I mostly have racing games, but I've got a few shooter games too. There's 4 that I'm big on right now. BURNOUT Paradise is very addictive. Grand Turismo is unbelieveable realistic. It has to install on your HD in order to play. I haven't played much of it yet. I just got it over the weekend, but it's awesome!
Then there's Army of 2. I don't have it connected to the internet at the moment, so I've just been playing with an AI partner. But it's still great. The other is Tom Clancy's Ghost Recon 2. That one RULZ! I also picked up Ton's Splinter Cell, but I haven't played it yet. I think everything that has Clancy's name on it is going to be good.
There's several others that I want to get that's out now or coming out soon. There's Tom Clancy's Vegas and Vegas 2, MSG4, Dead Life, Silent Hill, Quake Wars, Bad Company, Mercenaries 2, Socom Confrontation, Need For Speed - Under Cover. I'm sure there's other shooter games I'm missing here, but this list is a good start.
I've gotten some games from GameStop, but I've found better prices from Amazon in the used section. I don't think I've gotten a "new" game yet. Used is definitely the way to go.