Actually watched this movie quite a while ago, but forgot to add to my list.
The first from "The Vengeance Series", it's followed by "Sympathy for Mr. Vengeance" and lastly "Oldboy", the last one is clearly the most famous.
The stories aren't subsequential, but all of them, as far as I know - because haven't watched the second one yet -, has a gruesome, bloody and violent story. None of them is a movie for the faint hearted and if you don't like, at least, one of them, there's a high probability that you won't like any of the others.
I watched "Oldboy" without knowing about this whole series thing, but it doesn't really matter.
I heard "New World" was inspired by this one, well I just watched "New World" before "Infernal Affairs" and I gotta say this one is way much better.
"New World" is enjoyable and I'll definitely rewatch, but Infernal Affairs is just what has to be, maybe I went expecting a little more than it actually is especially because, you know, the main cast is just awesome as hell, therefore I might be a little let down by it.
It could be a lot better, but Andrew Lau made a fairly good job here and Andy Mak as well, props to them.
Now, I want to watch Martin Scorcese's "The Department" which is the American remake of this one - pretty sure it'll be a lost of time, like Oldboy American version would be -, but most definitely won't be looking forward the sequels. Sequels are hardly a good idea, I'm worried about 'em to say the very least.