Bought the game a little less than a week ago, and am about 3/4 of the way through as of now.
I must say, it is a fantastic game. I see a lot of people singing it's accolades, but only one problem exists for me.
There seems to be a lack of linear styled mission set up that I feel is necessary, in some situations. For example, there is an ability called "Dead Eye" which allows you to slow down the game in order to pick and choose targets and have Marston shoot them. However, there isn't a single mission that officially teaches you how to use dead eye until you are almost halfway done with the game. I figured it out long before that, however I didn't understand it at first and I wish that the game had shown me something about it much earlier in the game.
Second of all, many missions can yield you more money or a harmless ending as long as you have the lasso. But, I had no idea that doing the Bonnie missions first would get me this. Ergo, I played a fairly good portion of the game (not being able to hogtie any bounties, criminals, etc.) because I didn't know how to get it. In my opinion, they should have structured the game a little differently in order to teach you the finer points of combat and in order to get you a certain object that could be very useful.
tl:dr - Do all the Bonnie missions first, and use the interwebs to figure out Dead Eye if you can't do it on your own. It's pretty easy though. If you own a 360, just push down on the right analog stick, put the cursor over your targets (hit RB if it doesn't automatically mark them) and then hit RT while staying in Dead Eye.