The writing is really good, and manages to juggle hyper masculine gangster fights, with soap opera drama, and also with really absurd humor.
It uses dissonance rather than accidentally creating it, and trying to ignore it.
Second, the game is a good cross-cultural experience if you're not of Japanese origin/don't live in Japan. 0 is a period piece of the late 80's "boom economy", and does a good job giving you the feel of that era.
Also, the beat-em-up gameplay is solid, has a good upgrade tree, and different styles to try out. It doesn't get old.
Lastly, if you're the person who likes the amount of content in modern open world games, this game manages to do so without the bloat or copy&paste missions, or making traversal take forever.
The environments are tight and thoughtfully designed, side missions are even well written and interesting, and the mini games are well fleshed out. There's even full Sega arcade games.
So basically, the game is good, and the story is good.