Oh, I guess there IS one word of advice that is tremendously helpful early on. Big Daddies will NOT attack you unless you attack them. You can sit there and run circles around him, and the most he'll do is shove you away from the Little Sister. Don't try and push your luck, because if you hang around the Little Sister enough, I think he'll attack, but other than that, you don't even really have to worry about him until you want to.
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