Doesn't Brutal Legend have an option like that in the beginning of the game? As does Duke Nukem 3D in the settings?
Also, try Costume Quest and the Telltale Games downloadable titles.
Captain America: Super Soldier, Thor: God of Thunder, and Shinobi all seem like good choices too. I got those from the ESRB Web site. And why not check the ESRB site for T and E10+ games so you can learn what's out there within their appropriate range? Here's a link.
Heck, if you want FPS, try playing the original Tribes game. It is Windows-based, but it is freeware these days. Set up a LAN party with your kids!