Well in terms of replay value, Max Payne doesn't offer much. It doesn't have multiplayer support. Completing the game unlocks higher difficulty levels. Completing the game on the highest difficulty level will unlock a bonus stage. It also offers a "New York Minute" mode where you will have to beat the levels in a minute or less. So In terms of replayability, it's pretty limited. However, it maes up for it with spectacular action sequences, kick ass slo-mo and awesome story and presentation.
If you are looking for frenzied multiplayer action and have a decent net connection, look no further then UT2004.