Singleplayer: Mexico was completely balls, with the exception of the old legendary gunslinger, and the "impasse" joke during the poker game. The storyline there, where Marston is slaughtering on both sides of the revolutionary movement, is bereft of the moral dilemma wavering which affects the main character throughout most of the rest of the game. He's just murdering people all over, and it needed a little more "I've got no choice in this" feeling, or a better mission design allowing for him to choose a side to support.
Multiplayer: I never was able to work out the thumb-magick to get the
ducking-roll/spin/lock-on/headshot like some of the high-level players do. Actually, I could never even get the timing for consecutive rolls.
Running into players who could do that always surprised the hell out of me, because I'd shoot them two or three times, but the first shot would be the only one that hit, and then I'd be dead from a headshot.

From time to time, I still consider going back for my 100x headshots with the axe, so I could get a golden tomahawk. That tomahawk map was just a blast. I have rarely giggled so much, or experienced so much butt-clenching tension, as on that map.
Griefers sucked, but it was fun to introduce them to the tomahawk a few times after they'd put one over on me.
I wasn't happy that the collection Challenges from singleplayer had to be re-done in the multiplayer game all over again. I can't remember offhand if it had to be done for an Achievement, or if it was just my OCD (and desire for mp Titles to use).