I've had this game for a seriously long time, and I love it completely. The characters are cool and funny, and the writing is really fantastic. Once you unlock the necessary characters, you can go out and play as them, or you can initiate jobs that require them to progress through the world. There were 8 worlds to go through, and they are almost all completely different (except for 6 and 7, annoyingly).
However, the best thing about the worlds, aside from the level designs, are the jobs. It's not just the fact that they were crazy fun, but also the fact that they made such perfect sense. They were strategic, and they culminated perfectly in the final move against the boss. The boss battles were even great, too. They required you to use good strategy and it took real skill to fight them.
Another real step-up from the last game was the enhanced control. You could sneak or hold a button to run, you could sneak along ledges, you can pickpocket, use a charged attack, juggle enemies, and use sneak attacks. However, these aren't even universal. Sly, Bentley, and Murray all had different basic styles of combat; Sly and Murray could juggle, Murray could finish off enemies the most quickly, Sly could finish off enemies with an off-the-bat sneak attack, and Bently can shoot sleep darts and drop BOMBS! This makes it a very different playing experience across all three characters, and it makes for a very enjoyable play.
What's more is that you can get powerups through the game, and some of them can only be found by finding secret entrances. You can equip three at a time, and you can adjust which ones you want to use to maximize your ability. Some of them were just plain fun to use; like, for example, Sly can get Thief Reflexes, which, when you hold down the button, slows everything down completely. If this doesn't sound cool enough, there are waaaaay more that you could just play around with for 10 minutes, repeatedly.
Now you may be wondering, "If it's just 8 worlds, what would I do when I'm done?" A lot. That would be the answer. Each world has 30 clue bottles throughout it, and once you manage to find them all, you have to find the boss safe to enter the 3-digit code and get Sly a new power-up. This is what you can do to eventually reach 100% completion in the game, and once you get 100%, there's a code you can enter in the pause menu to get Sly the Mega Jump, which is an insanely high jump that lets you evade enmies instantly. What's more is that you can just go back and run around through the worlds, playing with your power-ups, pickpocketing enemies, and finding special treasures. In fact, this is what I do. I just play around with what the game has to offer, and it occupies me for hours at a time.
This game is an utter jewel. It's so, so, so much better than the first game, and even when you've done everything it's still fun to play, sometimes more fun to play than before! This game will last you years and years of gaming time, and you will never be able to part with it permanently. Buy it now.