At first, it took me some time to get used to the game, it is not linear, even though it is not difficult, it takes time to understand what it is all about.
Colt is a nice character, well-developed one, it makes the gameplay and story easy to go. Do you have some special weapons and power to get from the "Visionaries", you can do that first or you can go through the story in which you will eventually confront each of those Visionaries. I think that it is easier to get all the weapons and powers from the visionaries and then go through the main objectives.
The game is short once you know what to do. It is important what to do next given that if not you will be getting around the game without making any progress.
Then, you can play as Julianna which is like a multiplayer thing. Good to go too.
Enjoy it... good game for a change.