Having just finished it, I'm amazed at how many things the game gets right, only to let itself down by failing on a few basic counts. The soundtrack is awesome, the controls are intuitive and well thought-out, the graphics among the best I've seen on the PSP so far, the basic gameplay is great, the story is perfect for this kind of game, etc.
But, the lack of checkpoints is incredibly annoying, so is the inconsistent difficulty level and the erratic (but mostly crap) car-handling. The on-foot parts could have done with some more work too, given that they - unlike the rest of the game - are incredibly easy (which makes it even more tedious to replay them for the umpteenth time due to the lack of mission checkpoints).
Much as I liked the game, I can't really recommend to anyone but experienced gamers, since everyone else will likely just end up being frustrated by it. I hope they do a sequel, since very little would need to be changed to turn it into a solid 9/10.