I bought this a while ago as well. Haven't got past episode 4 yet as I got stuck and haven't bothered playing it since.
It's my first game in the series and I've really enjoyed the stealth and platforming when playing as Sly. However, I don't like playing as other characters. It feels very restrictive when you can no longer grab onto pipes etc. like Sly can. I don't see the need for all those minigames and rubbish boss fights either.
I might pick up the first or second game in the series, though, if there's less filler and more stealth and platforming to them (?).