One of the interesting things about Killzone 2 is how its art direction was done keeping the limitation of engine in mind. For instance the game uses quite low quality LDR lighting, which meant the light sources had to be quite dim else the lighting would become overexposed easily and the textures would lose their detail from a white crush.
This means day time scenarios were dimmer than you'd expect while being under a super bright lightsource like the sun, they countered this by keeping most of the levels at night and making the day time levels be set in morning/evening in a hazy environment with lots of particles. Making it look like the dimness is due to the smoke. They do overexpose the lighting at times like when there's a thunder, but because the flashes are so brief it actually works in favour of the game's look to make it seem like the thunders in Helgan are far harsher. Interestingly, the PS Vita version has a full HDR pass and is actually superior to Killzone 2 and Killzone 3 in this regards. The vita version also features SSR whereas Killzone 2 engine at the time of release could not do reflections properly without incurring huge performance penalties (they showcased their new reflection model in the Killzone 2- Behind the Bullet demo that you could download on PS3 that came a while after Killzone 2's launch).
Due to the game's nature of being an early deferred rendered title alpha was an issue, despite that Killzone 2 has alpha everywhere and does so in clever manner. But one of the other interesting things about Killzone 2 particles were that they were rendered at 480P but then passed through a gaussian blur and some sort of dithering effect too to make the artifacting as low as possible. It worked in most cases but when you were really up close you could see the artifacting. But more importantly, the particles in Killzone 2 were EXTREMELY persistent even by today's standards. The smoke and dust kicked up in the air stayed in air for quite some time. The green particle effects created by the spawn beacon in the multiplyer had actual physical interaction with the world as it'd blow with the wind and have proper collision detection with the environment (this was the only particle that had this though). GG also used a lot of prerendered particle effects to give a look of the game doing more than it actually is, like there'd be a fake turbulance created when there was a ship flying past you close to land for a scripted scene. The cosmetic destruction went above and beyond what you'd expect as not only could you break tiles and objects but those broken objects could be broken up into even smaller chunks even further. Another interesting detail I can recall is that the windows in the game didn't actually have any glass to save up on alpha cost, they were totally hollow but when you shot through them a glass shatter effect would pop up making it seem like you shot through a window that actually had glass that you broke.
As for the character model himself, one of the developers once posted in Beyond3D that the model is actually rendered in the world unlike other games where the first person model is rendered on a different plane and not representative of ingame model, but they erase the legs at the end because legs in first person perspective look odd. Though they decided against it in Killzone 3 and didn't do so.
All of this led to the game having a lot of cohesion in its environment design and Killzone 3 honestly lacks a LOT of these things. And Shadowfall actually went even further back in this area. I think the pressure put on the developers for Killzone 2 is the main reason why that game has so much cohesion so GG fired on all cylinders for it and more, going so far beyond that even the sequels couldn't match it in attention to detail in certain areas. Additionally, times were different and games were not aiming for interactivity as much and this is something we could see in other series too, like Farcry where Farcry 2 had an immensely interactive environment whereas you can't even break a single tree branch in the latest Farcry released a full generation later.