I think some Battlefield games did the magazine bullet wasting thing. I'm pretty OCD about reloading too, so I would be interested to how I would fare with more realistic ammo systems.
Yeah CoD is pretty good about this. Disappointingly though I notice with the pump action shotgun in Black Ops, even when there's a round in the chamber your guy always racks the slide when he reloads. In real life he'd be ejecting a good round every time.
One nice touch about the L4D1 auto shotguns was that you'd have to load the first shell into the chamber if you emptied it, which meant it made more sense to start reloading with one shell left in the chamber. Strangely, L4D2 went in the opposite direction and added the slide motion regardless of when you reloaded.
One thing that really bugged me about the L4D games was that you could cancel your entire reload effect if you switched weapons too soon after the reloading animation. You could reload, watch the reload animation finish physically loading the gun, and then switch weapons, but if you did it too fast your first gun would still be empty because you switched away before the game registered the gun as reloaded.