I've reached the Dead City, probably my favourite level, at Ultra Nightmare. oh god D:
Game is so fucking intense. I still wish headshots were more lethal but I feel that Ultra Nightmare is the difficulty this should be played at.
Headshots still work most of the time though. One or two direct hits with a Fatboy will do it. Wingsticks still do one hit kills most of the time too depending on where they hit. Ultra Nightmare IS the way to play this game.