I've played this game through to the end twice, once on the PC and once on the Xbox. The first time through, I didn't bother collecting everything and had a great time. The second time, I collected everything and while it wasn't necessary, it gave me that extra bit of challenge to actually finish the game again.
In terms of some of the complaints that I've read so far, I think they're valid. But really, not one of those things was so frustrating to me that I put the game down. In fact, if I had to point out one thing that kept my hands glued to the controller and also puts this title in my top 10 favorite games, it would be VARIETY. I never got bored at seeing the same objects or textures ad nauseum. I'm playing Doom 3 right now and for me that is boredom incarnate in terms of maintaining my enthusiasm for what I'm looking at. The scares are great, but man am I sick of looking at metal walls and grates. But I digress.
I truly appreciated the variety in this game. Every level was unique. In terms of gameplay, it added or removed different pieces of the control scheme for effect. The first time I got to smash buildings as Goggolor was sublime and I smashed away with the glee of a five year old with a sand castle. In the dance party level, rolling the ball along the race course and playing a little 3D version of pinball was a good change of pace. It was these small tweaks to the gameplay which forced me to continually change my style of play to suit the environment that made this game sustainable.
The other elements of the game also helped to cement its status in my mind. The visual themes and styles were always changing giving my eyes some new candy every hour or so. The voice acting was first rate, also. There was rarely, if ever, a missed line or a character that wasn't memorable. When I missed rescuing Dogan the first time through, I actually felt bad. That kid is cute. The music was just right, too. It acheived a good balance between memorable melodies without crossing the line into annoying territory.
There really aren't many games I'll play more than once. But every single one on my top 10 list gets dusted off now and again for another go and Psychonauts is definitely in that category for me.