I'd avoid an automatic breaking, offering a choice for allowing it in places where no other trick works.
\usepackage{xparse}
\NewDocumentCommand{\FSeq}{smm}{%
\IfBooleanTF{#1}
{#2_{1},\allowbreak #2_{2},\dots,\allowbreak #2_{#3}}
{#2_{1}, #2_{2},\dots, #2_{#3}}%
}
Thus $\FSeq{x}{n}$ won't allow breaks, but in case of need just adding a * will, with $\FSeq*{x}{n}$.
Example document:
\documentclass[draft]{article} % draft makes overfull hboxes visible
\usepackage{xparse}
\NewDocumentCommand{\FSeq}{smm}{%
\IfBooleanTF{#1}
{#2_{1},\allowbreak #2_{2},\dots,\allowbreak #2_{#3}}
{#2_{1}, #2_{2},\dots, #2_{#3}}%
}
\begin{document}
bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla aaaaa $\FSeq{R}{r}$ bla bla bla bla bla bla bla bla
bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla
bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla aaaaa $\FSeq*{R}{r}$ bla bla bla bla bla bla bla bla
bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla bla
\end{document}

If, for some reasons, the xparse package is not available, the old method for defining command with a *-variant can be used:
\makeatletter
\DeclareRobustCommand{\FSeq}{\@ifstar\olmos@sfseq\olmos@fseq}
\newcommand{\olmos@sfseq}[2]{%
#1_{1},\allowbreak #1_{2},\dots,\allowbreak #1_{#2}%
}
\newcommand{\olmos@fseq}[2]{%
#1_{1}, #1_{2},\dots, #1_{#2}%
}
\makeatother
Alternatively, with two macros instead of three,
\makeatletter
\DeclareRobustCommand{\FSeq}{%
\@ifstar{\@tempswatrue\olmos@fseq}{\@tempswafalse\olmos@fseq}}
\newcommand{\olmos@fseq}[2]{%
#1_{1},\if@tempswa\allowbreak\fi #1_{2},\dots,%
\if@tempswa\allowbreak\fi #1_{#2}%
}
\makeatother
\allowbreakcommand after each,in your macro in order to allow TeX to break line after each comma, which is not optimal but better. After you have to decide whether you prefer TeX to place your sequence on a new line when it surpasses the margin (and have a blank space to fill on the previous line) or if you prefer to break the expression in the middle and try to optimize the break with some stretching or whatever. – Ludovic C. Jul 16 '13 at 09:45\ensuremathis being used as a modal command, but in fact it takes an argument. – wasteofspace Jul 16 '13 at 10:23\newcommand{\FSeq}[2]{\ensuremath{#1_1, #1_2, \ldots, #1_{#2}}}– Martin - マーチン Jul 16 '13 at 10:37