I'm right at the part where I'm about to meet Elizabeth, so no spoilers please. The game looks beautiful and the sound design is awesome, but something is kind of bugging me (not to the point that it's ruining the experience). Booker gets the possession vigor easily from a girl giving them out of a basket full of those things. If it's so easily acquired, why can't someone possess Booker and make him commit suicide?
Other than that, I've been noting all the strange things being said, mentions of this Lutece that seem interesting, the interactions with the two...I dunno, guides? It feels cool trying to keep all of this gathered info in your head and trying to fit the pieces together somehow.
Something interesting that I noticed,which a lot of people probably missed, is that the dude who baptizes Booker is saying a prayer which is actually a parody of a Hebrew prayer, called Dayenu, which is said during Passover (the game came out on Passover). If you don't remember what it was, it's the one where he's shouting out the deeds of the "Prophet", followed by "that alone would have been enough".