Wow great comments about Alan Wake there, this is now a definate buy for me. I'm slowly making my way through Rage at the moment. Haven't really had chance to get into it yet. I've got Crysis 2 and Lost Planet 2 on my shelf to play as well but they're both gonna wait until I've got a DX11 GPU. So after Rage my choices are between Skyrim and Alan Wake. I know Skyrims going to suck me down a hole for the next 3 months (at least) though so I'm a bit hesitant about starting it while there are other great (but much shorter) games I want to play.
I found the trick to avoiding frustration with Alan Wake was not to try and save any ammo. Use the best stuff you've got at the time, look around for more ammo, don't be afraid to chuck flares out when you need them. If you look for ammo and pick it up, you will always have (just) enough. There's no point trying to save stuff for later.
It's also worth reading the manuscript pages you pick up, and watch the TV screens and listen to the radios. It all adds up to a story within a story. Is Alan Wake insane, stalked by a demon force, living a life made from someone else's story, or is he writing his own life before events happen? Is he imagining stuff due to concussion, where is his missing wife, and what happened during his missing week? Participating in all these story threads makes the game a better experience than just rushing through it and missing out all these nuances.
Combat is generally quite slow and paced (Alan Wake can't run and shoot, and when he sprints, he gets out of breath like your granny would), but it's often like you're being swamped by lots of slow zombies, so you have to manage your targets. For instance, you might have a bad guy just about to go for you, but you're still reloading your gun, so you can make him flinch back by shining your torch at him, and that gives you the extra second to take the final shot.
I wasn't too impressed at first, and nearly gave up a few times, but it pulled me in once I understood how the game needed to be played. There's some generally creepy and scary moments. Not just "something jumped out and startled me", but "this is really creeping me out and giving me that cold shiver down my back".
I really jumped when I was playing in a dim room with headphones on and my wife walked up unheard and touched me on the shoulder to ask what I wanted for supper.