I've started a new game though my first completed game so I've got all my weapons but I'm playing the hardest difficulty of MGS4, so far I have to say its VERY hard (Not stuff) but when I first played it, it was too easy for me and I wanted to try to unlock every thing second time around so I choose Big Boss extreme. The first few areas you have nothing but a knife and machine gun but the enemy's kill you with 2-3 hits, its extremely annoying and fun at the same time, playing the entire campaign sneaking will be allot of fun. Also I can buy the MGS classic rewards like the Bandanna and Stealth unit but they cost 5,000,000 each, atm I'm getting about 900-1090 per weapon and I'm not that far in so hopefully in the future I'll be getting a crap load more for these things.
As soon as you get the MK.II you get all your weapons/items from the first time you played which helps allot but its still a huge challenge to grab guns in the middle of sniper fire for the DPoints, I don't think its worth trying to not alert any enemy's for the entire game, you get the 5 mill stealth thing free but really think how hard that would be.