S.T.A.L.K.E.R - probably seems unfair because they aren't super perfect, but everything else about their games are.
1. The ever-shrinking game world per sequel; the zone just doesn't seem nearly as threatening when there's less of it to die in. The first one you felt that - "This is a big scary wilderness, I could get lost here, fuck.". In the last one: "Meh, that's it? this is like shorter than the walk down to my bus-stop!"
2. Becoming less terrifying: in 1- the bloodsuckers are mostly invisible, in 3 - they are TOTALLY invisible, and for some reason, they are less scarier than the first - because the panic you feel from being able to just barely SEE one coming at you makes you shit your pants just that much more. Same can be said with a lot of other things - for some reason the first one had the best atmosphere - where the sequels either were too pleasant, or just lacked the grittiness of the first.
3. Nigh-invulnerable creatures: seriously- emptying 6 assault rifle clips to kill one monster? If you want to make it difficult, make them move faster, be less predictable, have more special attacks and maneuvers. Not give them 6 inches of plate armor.
4. Poorly scripted AI and events: ZP mentioned this - being asked to do a mission, and then moments later, find the friendly neighborhood have just done it for you pro-bono. Getting missions where for some reason- your target happens to have travelled into a place you aren't allowed to fire your gun (and he decides to live there... forever) - and then of course the village is after you pitchforks n all after you shoot him out of impatience in waiting for him to wander outside the city walls or something.
Otherwise a fantastic series
