What makes it so great for me, besides all of whats been mentioned above (level design, multiple paths, new game+, etc) is that every mechanic is cool to pull off and watch, and fits the ninja style so well.
Even if you're just climbing or sliding along walls, creeping at the edges to peek around corners, taking huge running jumps and landing like a feather, pressing your ear against a door to detect whats on the other side, or stopping time mid leap to toss darts to take out three lights at once, dropping a smoke bomb and disappearing, distracting a guard long enough sneak into a nearby vent, tossing caltrops, etc etc. It all works - it all has its uses, it all looks and animates smoothly, and its all classic ninja stylings. *Everything* you do makes you feel like a bad-ass.
Can't get enough of this game.