Well, they're all different games.
Gears 2 is an awesome game, although not as good as the first. Online play will most likely frustrate you, although it is very fun if you are quick to learn.
Halo wars is a Strategy game, like Command & Conquer. If you are eager to kill everything and just get straight to the action, this game will probably bore you. It requires a lot of attention and micro-management. In other words, you need to be quick, resourceful, and be able to maintain focus if you hope to be good.
Call of Duty 4 is a great game, the online play is fairly easy to get into and be good at, and the campaign is fun as well. You will definitely have a lot of fun with this game. Unlike Gears of War, it is a first person shooter, meaning it will be through the eyes of the character and there are not as many options for single-button cover, the gameplay is much more simple and rigid than Gears.
They're all great games, but you might want to read some reviews before purchasing them.
