The more you get into the game the better it gets. There's so much to do, the story is interesting and the main characters are great. It completely exceeded my expectations. There are so many mini-games and sidequests. You can manage a hostess club which includes recruting girls, dressing them and training them. You can be a client at other clubs and develop your relationships with their hostesses (think persona social links).
You can participate in fighting tournaments, be a trainer at a dojo, go to the casino play all kinds of games, karaoke, table tennis, play videogames at the arcade, I'm starting to wonder what you CAN'T do in this game.
The story is dark, extremely violent and the characters you control are way older than your average protagonists and have been to hell and back. It's way more mature and darker than the GTA storylines though you can expect the typical moments of japanese humor.
You get into fights as you roam the streets to get experience and level up, unlock abilities, collect items to create new weapons and equipment, everything you expect from an rpg but in a setting that is completely different from everything else out there.
You feel that the city is alive, much more than in any other game because you can enter a lot of buildings and talk to a lot of the NPCs that roam the streets. The city has several layers, sewers/undergound parking lots, the streets and the rooftops.
If you become a regular at certain places you get special treatment. You might make friends on the streets and they'll help you if you get into a fight nearby.
The game comes loaded with videos explaining what happened in the previous games so don't be afraid to jump into this story, 3 out of the 4 main characters are new anyway.
I can't recommend this enough, people should stop crying for shen mue 3 and realize that sega is giving them something much, much better.