I have it on PS3, and I really enjoyed it. I felt like it probably had the most interactive "world" of an open world game, though I did feel like it was very linear compared to Grand Theft Auto IV. There were a reasonable amount of unlocks and side quests to do, but none really yielded you much aside from the treasure map ones (which gave you a pretty hefty reward for finding gold bars). Causing mayhem isn't as fun, but it's the early part of the 20th century so it's not like you can have a mechanized infantry division come after you or anything. The multiplayer is okay, but most of the time you'll usually just stick around in the lobby gunning down your fellow travelers. I usually just play poker on there with people.
It's pretty fun, but after the first play through there isn't much do. Undead Nightmare gives you a whole new campaign to mess around with, but I didn't find the multiplayer to be much.