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Also started Bioshock. Big daddy is no joke. Got lots of health and deals loads of damage, plus they're dangerous. You basically have to kill them though for ADAM. No ADAM means no upgrades. No upgrades means things become harder. That results in later big daddy fights being even tougher. The game was really made with big daddy in mind.
Only at the beginning, when you're unprepared. Later, you'll have a good variety of toys to use against them and will wreck them.