A suggestion, and a bug:
First, the suggestion-- The opening cutscene, while fine, should not have to be viewed every time you load up the game. Only when you start a new game would be perfect.
The bug-- The volume settings are ignored when the game is loaded, and the default values appear to be used, even though the sliders show the previously-set values.
The Hell Dining Badge does not work correctly. I ended the game by dying at around 50 kills, and was awarded the badge. This wasn't a cumulative total, either.
Cool game. I really dislike the way that damage is displayed...You're in the middle of a gun battle, and all of a sudden you can't see yourself, or who you're shooting? That's pretty silly.
Decent game. As other posters have mentioned, it needs some sort of mute/volume control. Also, the "Survive for ## minutes" objectives didn't work well on my computer--they took about twice as long, real time, as they should have!
Also, it would be great to clean up the field between stages (at the very least). All the colors bleed into one another, making some of the enemies too hard to see.