The PS2 does a lot of things well, but first-person shooting isn't on that list. To its credit, Cold Winter is probably the best-playing shooter of its kind on Sony's console, but that can't stop it from being a rental candidate at best.
The story is your average informational-sabotage fluff piece, though as James Bond ripoff narratives go, this is pretty well done. The same can't be said for the graphics, however: Cold Winter isn't particularly ugly, but the blandness of the game's textures and the washed out colors definitely prove the system's age and limitations. Even if the production values weren't otherwise lacking, the excellent voice acting and well-written dialogue would probably be the best part about the game.
Cold Winter is nothing if not ambitious. Rather than go for the "shooting gallery" style of game that is so prevalent on the FPS market these days, a good deal of effort has been made to help players "feel" like a trained agent. This isn't a stealth game by any means, and the surest way to success is through lots of high-tension shootouts, but little things like creating gadgets and weapons from materials found in the environment and the ability to transform just about any table or solid object into makeshift cover does a lot to give the game a feeling of depth that would otherwise not be there.
The biggest shortcoming of Cold Winter, as is the case with most PS2 shooters, comes not from anything within the game, but the shortcomings of the platform it's on. It's been said many times before, but the Dual Shock 2 is simply not conductive to these kinds of games. Cold Winter does an amicable job of being at least mostly playable, but the "floaty" feel of the analog sticks is in full-effect here, so much so that you'll start to wonder if your agent packed his ice skates instead of his combat boots.
PS2 diehards who absolutely need a first-person shooter on the system may enjoy this well enough as a quick option for their blasting fix, but action fans with a PC or Xbox will find Cold Winter to be unseasonably chilly.
-George