Hmmm... Not too expensive + not too long + not too complex + more than 4 players + not a card game is a pretty tall order. These are the most likely candidates I can think of.
(3-7 Players, adventure, medium-long length, medium complexity, cooperative) Shadows over Camelot
is pretty neat. It has you completing various quests cooperatively, but one of the players is secretly a traiter that tries to screw everyone else over. ->
http://boardgamegeek.com/boardgame/15062/shadows-over-camelot
(2-4 players, adventure/strategy, short length, low complexity, competitive) Cave Troll.
Go into the dungeon, secure the rooms with the best loot. Try to get the nasty monsters to kill the other players off. ->
http://boardgamegeek.com/boardgame/4491/cave-troll
(2-5 players, adventure, medium length, low complexity, cooperative) Fury of Dracula.
Is basically a kind of hide and seek. One player is dracula and lays down a track of cards that generate a trail across europe. The other players play vampire hunters and try to follow the trail to track him down. You also need to coordinate so more people corner him, since going 1v1 with the Count is usually not going to go your way ->
http://boardgamegeek.com/boardgame/20963/fury-of-dracula
(3-6 players, adventure, medium-long length, medium-high complexity, cooperative) Battlestar Galactica
is best if you watched the first season or two and like the setting. You try to survive a number of events without losing too many resources (Morale, Fuel, Population, Food) or getting blown up by the attacking cylon fleet until you can jump to the next system. After a set number of jumps you make it to New Caprica. Of course, one or more players may suddenly turn out to be Cylon agents that have been sabotaging you all along. ->
http://boardgamegeek.com/boardgame/37111/battlestar-galactica
(2-5 players, strategy, medium length, medium-low complexity, competitive) Smallworld Underground
is not an adventure game, but it's cheapish and ridiculously fun. Lots of player interaction as you kill each others dudes off and try to convince people to gang up on someone else. Highly reccomended. ->
http://boardgamegeek.com/boardgame/97786/small-world-underground
(2-4 players, strategy/adventure, medium-long (very long) length, medium complexity, cooperative)
If your bros are 40K fags, you could try tracking down an old copy of
Space Crusade.
It's not as well-designed as Space Hulk, but easier to play with 3-4 people. It's been out of print for a while, but occasionally turns up at fleamarkets for next to nothing. Can be played in single missions oer as a longish campaign. ->
http://boardgamegeek.com/boardgame/1568/space-crusade
(2-5 players, strategy/adventure, medium-long (very long) length, medium complexity, cooperative)
Mutant chronicles is similar to Space Crusade. Except the players are competing against each other a little more and will frequently be tempted to sacrifice each other for a bigger share of glory for themselves ->
http://boardgamegeek.com/boardgame/1621/mutant-chronicles-siege-of-the-citadel
Speaking of warhammer faggotry...
(2-4 players (5 with expansion), strategy, medium length, medium-high complexity, competitive)
Chaos in the old world. I haven't played this myself, but I keep meaning to pick it up. It's strategy, the rules are a bit heavy (but flow pretty quickly once you get the gist of them) and oh, the fluff. It's also received pretty positive reviews. The players are playing as Chaos Gods, trying to turn the old world into a black stain of corruption that nothing will ever cleanse... A bit like Liverpool. The cool part is that each god has a threat dial that get increased when they play in character. So nurgle gets points for spreading corruption to populous areas, slaanesh for seducing nobles, khorne for BLOOD FOR THE BLOOD GOOD etc. As a chaos gods threat dial increases they get new abilities, so a balance has to be struck between securing your own objectives and keeping the other guys from getting too stronk. ->
http://boardgamegeek.com/boardgame/43111/chaos-in-the-old-world
If I were allowed to break the requirements (say, picking some expensive FFG box games or allowing for ridiculously long or complex games) I could probably drum up more.