Everything I love has been said already but I can't stress enough how refreshing it is, for me at least, to have a game with rock solid mechanics and an AI that's REALLY challenging (without being cheap or suicidal; ex: Uncharted 3), complete with a non-regenerating health system is refreshing in this day and age of hand-holding design from most developers of AAA titles.
If I die in Max Payne 3, it's my fault. I wasn't cautious enough or my strategy was wrong. The game punishes me for it, but not wrongfully. I'm in a bad spot at a checkpoint? The game will give me a little push whether I have no ammo left or about to die health-wise.
I'm starting to 'get' the game and like the previous Payne games, I'm going to play it multiple times and as I get better at it, the game will also become more and more enjoyable.
Solid all around. Finished disc one last night, can't wait to continue Max's journey tonight!