Deny. The more intimate (sickos) relationship you have with the little sisters really adds to the immersion, at least to me. Having the little darling on your shoulder, cheering you on, protecting her while she gathers ADAM, and then ferrying her to safety, it's all much better executed that your encounters with them in the first game, which were no less binary, ultimately, but much less evocative.
I won't claim that the primary antagonist holds a candle to Andrew Ryan, but taken on her own merits, she is very good, and completely round the bend.
At first you may feel like "hey, wait a minute, why do I take damage like a normal mook when I'm a big daddy now", but when you actually look at your suit, it really isn't armored at all. It's just a prototype fashioned from the dive suits used by the engineers who built rapture in the first place, before the advanced suits of the production big daddies.