The break into the police station mission is one of the most subtly brilliant missions Ive ever played. You actually have to listen to your companion on the way there to figure out what room you need to get there and how to get there. If you dont listen, you have to find out where the office is on a map...thing is you dont have a map...so you have to find one.
So I sat there thinking....where the hell is a map...then it dawned on me, hey dont most buildings have a map by the entrance? But I took some weird back entrance so I had to duck and dodge my way past guards to get to the entrance where hey look a visitor map. But the game doesnt notify you that you found the map...you have to realize it yourself and figure out where you are in relation to the office.
Rest of the game doesnt feature anything like that, but it was a really neat way of thinking I hadnt experienced in a game before.
Also it can not be stated enough that Mafia 2 was one of the best cover based shooters ever. Enemies go down quick, but so do you, its a real cat and mouse and you need to be really fucking cautious, but so do your enemies. Really really under rated game.
EDIT: My only slight against the game is that the overarching story seemed really unfinished, what was there and the missions themselves were fantastic though. Basically looked like they had to cut a lot, but what they had was fantastic. Loosely tied great scenes.