I'm playing through on Veteran at the moment, about 1/2 way through (I've done it on Regular, but yawn). I'm actually not enjoying this as much as I did on Regular, simply because it is now a case of "learn where the enemies are, so when you respawn a few steps back, you can shoot them easier" - some sections I can sail through without dying for ages, and then others (looking at you, favelas) I just have to keep re-doing and getting a little further every time until I know where I'm going to find the scripted bad guys.
Regular on the other hand, kept me going - I wasn't dying constantly, and as such the AI had a chance to do fun things and ambush me.