Shogo is one of those games that time has not been particularly kind to. The graphics are pretty lacklustre (actually that might be too kind - they are terrible), and don't even have the luxury of having good art or interesting level design to save face.
The levels are very linear and at times it feels like the level designers only had a series of different textured boxes to build the levels out of. The AI of the ingame enemies can be a bit suspect, they tend to stand still until you edge into view and then have pixel perfect aim, which for higher difficulty settings can be extremely frustrating to round a corner only to be shot dead instantly before you have time to even see an enemy. Quickload will soon become your friend.
The story starts out as fairly silly and gets to the point where it gets downright ridiculous. (oops I missed the train, now I need to find a cat in order to get a lady to disable her electric fence !?!)
On the whole, it does have its moments but there are much better games to purchase on GOG.