I like RPG and adventure and the like because of the story and world building. That's how I immerse myself in a game, and many shooters lack this, it seems, in favor of gameplay, multiplayer, and other mechanics. Of course, while I'm a story gamer, I'm also a challenge gamer to whom gameplay is quite important as well. The key is blending them, and some RPG's are good at this, some are not, and I prefer the former, because firstly the RPG fufills the requirement of treating story as something integral to most games rather than an optional add-on that costs more money. Shooters are in a rather reverse situation, many of them have the precision and skill-based gameplay with the variety to give challenge or one way or another, but too many of them lack the world-building or story. It's also important to note that a story in a game does not necessarily consist of cutscene this, dialogue that, wall of text here. A good story told through a video game must be done quite differently than anywhere else, even between different kinds of games, but shooters are more lacking in any of these categories than RPG's in general are. Some shooters lacking in these areas would be:
Newer CoD games. Modern, highly realistic environment but containing fictional characters and storyline. Roughly 20 games per year come out with this same setting, each as uninteresting as the next and the same shade of color. The plot is often too short to really develop into something memorable either. I can go into great detail about a number of war movies I've seen, but could perhaps tell you about my copy of Black Ops that it involved some Vietnam here some Cuba there and some guy with a cheaply inspired name that sounds both Russian and German.
Halo. Faceless soldier mows down many, many aliens. Not much else to say.
The thing is these kinds of games transform when it comes to the multiplayer. CoD constantly goes for the serious, threatening war going on and Halo a serious if shallow Sci-fi fare, but switch over to multiplayer and that serious nature swings a 180 and becomes the fantabulous and chaotic game field while trying to be the same serious setting, and the difference in jarring. A lot of RPG's actually have a similar problem with moral choice systems. Story AND gameplay combining into one wholesome feature is something of a trend not between RPG and shooters, but between first player and multiplayer games. There's the odd co-op game, but those are even more difficult to do in providing a multiplayer experience with good video game storytelling. In short, because many shooters focus on multiplayer gameplay, they have less immersive single play. So if you don't like to play shooters very much, you may be more interested in the "perfect single player experience", rather than the "perfect multiplayer experience". Shooters largely contain the latter because of how seamlessly they lend themselves to a multiplayer and competitive environment. They just seem to work better as multiplayer rather than single player, so if you try a shooter that focuses mainly on multiplayer (take note: this means NOT Portal or Half-Life) and try to get into its single player, you probably feel stunted compared to the single player RPG.