YES. If you don't have it, get it. One of the better FPS games of its era, with an excellent story and lots of quality writing.
A shame that Jericho didn't turn out so well. I think the problem there was that Jericho really didn't make all that much use of Barker beyond concepting stuff, and it didn't have a journal system like Undying, so couldn't disseminate information via the written word. Though I still say people were needlessly hard on it. It was functional, fun, ridiculously violent, had some cool monster designs, and some nice camera work.
But I digress. Yeah, Undying is still really great. The polygons show their age, but the story is interesting, the atmosphere is still oppressive, and the artistry that went into the game is still apparent. And there's a decent amount of content there, too.