Just watched the gameplay demo from MS' E3 press conference.  I had no idea that Alan Wake's story was set up like a a serial drama.  Very, very cool idea.

Meh, It sounds like its going to be a balancing act. On one hand it could be imersive, on the other it could get annoying... and obvious.

It worked very well in Alone in the Dark.  It reminds me of AitD's "episodic" structure.  I just hope they don't make the same mistakes AitD did, (ie make it such that it could potentially be impossible to complete without skipping chapters) or just, generally, sucking.