The setting is what I hate most, but really I can get past it. I kind of forgot about it. Then the music comes on.
I wish that when you saved a game, it saved your options with it. Because I hate having to either a) go to the options>audio menu and turn the music all the way down, or b) flip through the radio til it is off every time i get in a car or something.
The Tec-9 is awesome, you can run around while locked on a guy and shoot him. Getting a tec-9, then killing a cop at an intersection is a good way to start the fun. After you run out of Tec-9 bullets I suggest using the cop's handgun because you can also run around with it. I heard your endurance goes up as you progress, i don't know about it though. If you tap X alot you can run pretty fast, and it is easy to escape the cops even if they are in cars, just don't get run over. If you run out of ammo, run around near their cars and hit them alot for their guns. Or steal a car and drive off til you can get a gun.
That is just something I like doing, I don't own the game so I just screw around when I play it.