The only two things that disappointed me about Max Payne 2: The Fall of Max Payne (PS2 version) were:

A) The graphics sucked. Now usually this doesn't bother me as long as the game is good. But when the graphics actually affect the gameplay (i.e. glitches and slow down when there's too much going on), then it bothers me.

B) It was too short.

Other than that, I enjoyed both games immensely. But the PS2 versions were the worst of the bunch (and those were the versions I played.)

Max Payne 3 on the PS3 would indeed be awesome. But I think the days of 3rd party exclusives are coming to an end. If it's 3rd party, odds are it'll be on as many systems as possible. Which is better for the consumer, I think.