I myself have Max Payne 1&2 on PC, have just started replaying the first one. It's more difficult than I remember, especially because I've played lot more shooters on this decade than before, I had imagined I'd do better than back when I've played it before.
I like MP1 bit better than the second, I think it's more consistent in both style and difficulty. Plus I'm not quite happy where the plot goes in MP2.
I also have to point out GBA version of Max Payne. I played it on emulator and it was an excellent example of how to convert a game to a device with enormously lesser capabilities: keep the spirit and style, while recreating gameplay to fit the device. I haven't played that many GBA games, but Max Payne is definitely in my top 10.
Other Remedy game I've played is their first title Death Rally (later republished to various platforms). I remember quite enjoying that too. Fun little game that didn't feel unfair like so many of driving games of all sorts.