Now I realise...
Why nobody said "The Orange Box"?
Go for this first. Seriously, I forget about it, but it's one of the best... "games" you can find on a 360.
If you haven't played Portal, it's totally worth it.
Same goes for HL2, but not as much as Portal.
But TF2 sucks on 360. Not just because it's never been updated (and that's apparently M$ fault) but because there's never anyone playing it besides 12 year olds