Quick Save and Quick Load.
I hate games with a checkpoint saving system with a passon, almost ruined Metro 2033 for me.
Jumping/Crouching in shooters.
I like the freedom to be able to jump over objects and crouch behind stuff in shooters. Shooters that take away those abilities just annoy me.
Health Packs.
S.T.A.L.K.E.R. showed us the way to handle health packs by having you able to pick them up and placing them in your inventory. Hell, I don't even mind the old school style of just running over them. But regenerative health is just ... blah.
In short. Screw modern shooters. :<
These, and in addition two things for FPS games:
High enough difficulty level.
I don't want to be able to just run through all those dozens of enemy mooks, if I'm facing off against them I want to end up playing that part dozens of times before I beat it! That's where the joy of success comes from.
Iron sights and the possibility to hide crosshairs.
Just for that tiny hint of realism.
Yeah... I like S.T.A.L.K.E.R..
Regarding the difficulty level, it can work for strategy games too. Wargame: European Escalation managed to make it feel like an achievment when you beat a campaign mission.
RE: Health regeneration: Red Orchestra 2 has probably got the only good "health regen" mechanics out there. When shot, you either die or you bleed. If you start bleeding, you have to stop the bleeding or you die.
If you can stop the bleeding. Light bleeding stops by itself, as long as you don't move for a while, medium bleeding kills you in a few seconds unless you apply bandages (keep in mind, whoever shot at you is probably still out there) and heavy bleeding... can not be stopped. You get about five seconds to shoot stuff as your screen fades to black.