Each of the levels has its own distinct look that stands out and offers a good visual cue about the "story" the level is trying to tell. For instance, the first level begins with a beach assault that slowly moves from defensive beachheads into the main base. The same goes for latter levels, which see your characters busting out of a heavily fortified prison, trudging through swamps and finally assaulting a very Kremlin-looking base.
Your trip through these locales is accompanied by a decent musical score and sound effects. Whether intentional or not, the background music has an 80's hair band feel that - at least for me - kind of helped tie the sequel in with the original games. My only real complaint was the lack of any sort of wink back to the theme from the original Commando that, for whatever reason, still sticks out in my head nearly 25 years later.