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The video seems interesting, but these sort of videos benefit greatly from a few jokes or some stories (be they about a game, real-life misadventures, or anything that offers an extra layer of entertainment). There's also the option of commenting on lots of little parts of the game (like talking about goofy dialogue, odd level design, or just unusual decorations). If the audience is hanging on your every word, you're doing a good job. You guys are doing a decent job, but try to ramp it up a little bit.
For the intro, I like the idea of a semi-cold open. Try having recording audio with a black screen with the ground rules on-screen for a few seconds (about 3 seconds per frame or 5 if it's only one frame. Try to keep the total under 10 seconds to keep it from being tedious) and then dropping right in on the action.
I also suggest trying some multiplayer games where everyone conforms to those rules such as Left 4 Dead.
Also, perhaps you could try doing some more action packed games? Resident evil 3 isn't the most exciting of games these days.
If we die (or rather when) it cuts to black instantly and it's over
A dead-end cut kind of leaves it open-ended in a negative sort of way.
older games
I've actually grown attached to these let's play videos, and after I've lost my interest in Game Grumps (yeah, I'm one of them), I've been looking to fill the void left.