Just finished playing through the first two games in anticipation of 3, and I fully expect Rockstar to take the narrative to a new level. Looking back, the plot for 1 is a bit of a mess, but it and the production values improved immensely for 2 and I really enjoyed the noir love story approach to the sequel, despite some cheesiness.
If MP2 was the Fall of Max Payne - I wonder what MP3 will be...redemption? =)
Gameplay-wise, I just wonder whether MP3 will feature any platforming, or even an ability to jump? There was some really great level design, especially in MP2 with its almost Metroid-like self-contained levels opening up further as you get the 'keys'. In particular, the NY apartment level early on was brilliant.