I have to say that I'm more partial to a more centralised plot, and one that leans more strongly towards the X-Files, or, apropos of your interest check, the Hellboy comics. I'm more interested in investigation, character development, and untangling secrets than just finding something to shoot. That isn't to say that I'd want to spend all the time investigating dusty old libraries or something - there's always room for good, old-fashioned brawl. ;)