I first bought Shogo in a multi-pack of games and enjoyed it.
Let me make one thing clear, this is not the best FPS out there, nor was it the best of its time. It has its problems from lackluster AI, random appearing guys (especially in rooms you cleared out before the cut scene) and little difference between the human/mecha gameplay. Shogo broke no new boundaries and is a rather average game.
What I found most enjoyable was the wit and story of the game. To me, it more than made up for the lacking in gameplay elements, because as I said, this is an average shooter of the time. If you like cynical humor, or anime in general, you'll enjoy playing this game.
One thing to look out for, in the museum of war, the game splits into two paths, depending on whether you side with the fallen or not. It is worth your time to play out both of them.