You've only done Paris? You ain't seen nothing yet
I'm just doing it over and over, trying to do challenges. I will probably move on at some point but I also started a new game with a friend of mine at his apartment, so we've agreed to save at least a level or two to discover in person over a couple of beers. The laughs we had when we discovered you could two-hand-hurl a fire extinguisher at someone's head with pinpoint accuracy....
Also is it normal to not save AT ALL? I really enjoy fully restarting the mission when I fail. Honestly, I haven't even tried saving so maybe that's how the game is designed, but either way, that's what I like to do.