I said it in the blog post I linked, but if there's one reason I prefer SS2 over BioShock, it's because SS2 does a better job of immersing players in its world, and that's what these first person simulation RPGs are supposed to do.
Well, actually BioShock does about an equal job, but the difference is that BioShock get's in the way of that with all those assistance features. As soon as I started that game I immediately turned off the quest arrow and pretty much every other helper in the option menu, and it still wasn't enough.
When a character tells me what to do over the radio, I don't then need that objective to show up on my HUD. If a character tells me where to go, I don't need there to be a massive "GOAL" sign located there on the map. I don't need these things when the world is as well-realized as it is in BioShock.
Both of these games have an insane amount of environmental detail when you pay attention to them -- in-game signs tell you where things are, all locations have signs above them, you have a map, you can basically navigate the Von Braun and Rapture as you would if you were really there. BioShock doesn't let you do that though.