I know the feel.It's kind of crazy how quickly and easily you can be taken out. Definitely not something I expected and makes me play much more carefully. (But I've still had multiple situations where I've wandered into a room I wasn't supposed to and then got punched twice, killing me and robbing me of yet another $5k.) It makes me less likely to experiment.
As i said it's definitely my biggest gripe and what made me stop playing on 360, after i had beaten the story mode.
At least for more traditional mayhem, you have director mode now.