CoD4 is a must buy, although I always hate getting into these games late, there's so many players out there who can kick my ass it get's kinda daunting to even learn to play properly. I think this is doubly true with Halo3.
There's Battlefield2, which I'd get even though BF:Bad Company is out, BF2 is a lot of fun on Live, when you get a game with sensible players that is.
GTA IV has some great multiplayer modes, but I tend to just free roam with my brothers, kinda go looking for the best stunts, practice flying heli's, annoy each other basically. If you ever wanted to wander around Liberty City with your mates, then you can't go wrong. One thing I like about it is simply how crazy things can get with more than 1 human influence, 2 or 3 human players can cause a lot of carnage
. GTA IV is really a vital purchase for the 360.