In its day, Sly Cooper was an amazing game, and is still mostly good. However, it shows its age in ways other than its graphics. The lack of a good climbing ability is the most glaring absence.
In this re-issue, there are two issues. The first is the most glaring. There is no way to change games without quitting. You must quit the game to switch from Sly's 1, 2, and 3. The other issue is that they never upconverted the cutscenes.
I really enjoyed the game, but these problems were, well, problems.
I owned all three games, so to have them in HD and in one neat package is a good buy regardless, especially if you've never played them before. The HD has a downside of really showing off the PS2 level of graphics, but you're not really playing these games for the graphics anymore, nor were most when the games came out.
The only con I see with the game is, as far as I can tell, there's no way to exit back to the main screen and choose another game once you start. You have to quit and load it up again to play a different game. Would've been nice to have a way to backtrack once loaded, but it's a minor inconvenience.
Worth a buy unless you're not into these kind of fun platformers.