Seeing as I haven’t found a game that successfully combined the two elements, I figure I’ll ask you guys if there are any that get it right.
Darkness
Mass Effect, what with the biotics
Any star wars game, what with the force
Bioshock isn’t exactly magic but is close to it. Amazing game, good graphics, great storyline.
Maybe a little old… but Clive Barker’s Undying did it pretty well too…
I think Hellgate London has also this combination
Clive Barker’s Jericho
Painkiller. You get tarot cards that give you various powers.
There’s also a gun that shoots shurikens and lightning 
Jericho didn’t work out well
Bioshock and Bioshock 2 (even though these plasmids are supposed to be genetically enhanced abilities)
Magicka?
Arcanum did a decent job of it… it was somewhat biased in favour of magick, but I found playing a technologist to be more interesting.
@Scrue: No guns in Magicka, as far as I know.
there were guns last time i played, and there’s the new Vietnam dlc
Torchlight.
Personally I don’t count Bioshock, Mass Effect, or Star Wars, since they are just genetic and biological modifications. And yes, the Force is biological. Midoclorians, or however you spell it.
That doesn’t mean they aren’t magical. There is literally no way to synthesize that kind of power
Fallout 3.
Since it’s Oblivion with guns.
Midasdhkjgkljhgakljsdhfses were explained to attract the force. They aren’t the force.
Shadowrun on the Genesis/Megadrive or SNES. (the 360/pc one sucks)
I hear the tabletop RPG they’re based off of is good too if you’re into that sort of thing.
Yet
Does it have to be a shooter? If not you can consider DoW2, WH40K has Psykers. Starcraft has Psionic Energy, but then again that’s based on whether or not you consider that to be magic.