Veteran is pretty easy as long as you have one weapon with infinite ammo (preferably the magnum), especially if you play through on normal first. Knowing what you can expect helps make it a pretty quick playthrough.
I had a lot of fun playing through co-op with one of my roommates. The story is fairly short and not super interesting unless you're really into the mythos, but the gameplay's alright and challenging enough to keep it interesting. Once you beat it once (and it's not a long game) though, there's not much to do but grind for achievements unless you want to shell out for the DLC, which means playing the same levels over and over again to make money and collect all the treasures and whatnot. I enjoyed it the first time through but it's not a particularly lasting experience.
The biggest problem I have with some of the latest JRPGs is the voice acting. I barely made it through Star Ocean 4's story and then sold it a few weeks later. It's the first game I can remember playing where I couldn't help but actively hate the main character for at least half the game.