GUIDE ARROWS ON THE STREET
In Sleeping Dogs, while driving to a destination, I get turn by turn directions in the form of guide arrows that appear in the middle of the street. You don't have to glance down at your minimap to confirm that you are going in the right direction, ever. It sounds like a small thing, but it drastically cuts down on collisions and it's minor convenience is something you can't live without after a couple hours.
YOUR CLOTHES HAVE STATS
It's a complaint that I have had with the GTA series for years, you give us all of these appearance customization options, but for what? Why should I care what my custom criminal is wearing? Well, when a certain shirt/pants combo can increase your melee damage by 5%, or wearing sunglasses and cowboy boots give you an XP boost, you care. I love that about Sleeping Dogs.
In Sleeping Dogs, if you drive your motorcycle behind a car/van/truck at a steady speed, you may hold down the A button and if timed properly, you can jump from speeding bike to the top of speeding car. It's exhilarating, tricky, and I just unlocked a perk that allows me to lower my wanted level by doing an Action Hijack during a police chase.