Potential Spoilers Below. If you haven't beat these games.
Red Dead Redemption
My one complaint about the game that I can get on is the way John Marston acts and takes orders from the other characters in the game. I'll ride out to a far out city (Blackwater) and find an individual that can help me locate the dude I'm trying to kill, BUT only if I do a favor to appease his people (Spanish Revolutionaire). It didn't make any sense why I had to be everyone's errand boy to get anywhere in the game, John isn't that assertive except against poor wild deer and bears.
BioShock
One of my absolute favorite moments in the game is near the end when you find out who Fontaine really is and Tennenbaum rescues you to her flat in Olympus Heights and you two team up for a while trying to find the Lot 192 cure for Code Yellow. I took this time to soak in all the atmosphere and explored Apollo Square and Mercury Suites apartments (anyone know that weird ambient sound effect that sounds like a man screaming? It's alot in that area). I don't like how everyone I found onwards like Diane McClintock, Anna Cullpepper, Kyburz, Suchong, and every other character was already dead when I found them. It would've been awesome to actually meet those characters alive and interact with them if for only a bit.