1) Ft Frolic - everyone's going to say it but no harm in reinforcing! Sander Cohen is just so deliciously insane. The best bits are where you walk in on him giving the piano lesson, and when you complete Cohen's masterpiece. Also the 'poem' he wrote is hilarious and the tape about the fellow artist. The voice acting is excellent throughout.
Oh yeah, I forgot his poem. Great stuff. Took a look at the Bioshock forums, seems like Ft. Frolic is recognized as the best part of the game by most players. The best moment IMO is when he gets "nervous" and unleashes the nutcracker splicers at you. Oh, and the first time you see those clay statues.
2) Steinman tapes are spine-chilling, especially the one where he just starts cutting his patient in the middle of the routine surgery. Also, him hacking at his last patient when you corner him is a great moment.
The tapes are very interesting, you can see how an obviously talented doctor starts going insane when given the power to do basically what he wants. His shout as he sees you is also great.
3) Andrew Ryan - his death is a great scene, but also I looked forward to his tapes. The voice acting conveys his passion for his beliefs really well. The best tape though is the one you find late on where he is just launching his splicer army at Fontaine and begins to doubt that his actions are still consistent with his ideals.
I liked the tapes a lot. And the scene just before you enter his office. His tapes are interesting in how they detail his beliefs. The voice acting there is very good indeed, but I particularly loved Ryan's tendency to make all sorts of comparisons to machines - the Great Chain and all. The man seems to view society as a machine and yet he seems disdainful enough towards individual people. Some of his other metaphors are good, too.
Another moment I loved was in Arcadia, when you go to meet the botanist, Ryan gasses the room and she scribbles the code to her safe on the window. Excellent direction there.
For some reason I also really liked exploring Cohen's and Fontaine's apartments towards the end of the game. Those are well-made areas.
Comment