Me and my brother have been playing this as well. It's surprisingly addictive. Like someone mentioned, the story is virtually non-existent, but the whole fun of the game is just to get the biggest, baddest guns you possibly can and see how much havoc you can wreck.
Currently playing as a level 25 Lilith. I love her phase walk skill, plus the phase in and phase out immolation flares are just fun as hell to use. Run up to a bunch of bandits, phase out, and watch everyone around you within a 10 ft. radius get reduced to cinder. :3