Finally finished playing Rainbow Six Vegas today (the first one, not the recent sequel). I thoroughly enjoyed it - more than I was expecting to, in fact.
The reason was that I was playing in "realistic" mode (where just a few hits will kill you) with the game only saving at predetermined checkpoints. Normally I hate games that don't let you save wherever you like, because having to replay the same segment again and again can be an exercise in frustration.
In Rainbow Six Vegas, I rarely found it frustrating, however. That's because whenever I was killed it was usually because I hadn't planned my attack, and had charged in as I might in any other first person shooter, hoping for the best. In this game, I really had to use cover carefully, guard against being flanked, and make use of my smoke grenades if I wanted to stay alive. That made the game hugely more strategic, and hugely more satisfying to play.
