The video walkthroughs are listed at the end of the video...

The text walkthroughs and tips for the game are listed on Walkthrough/Hints,Cheats section above...

Added healing and reloading cheats to the walkthrough/hints/cheats section...

Intro

Throughout Act 3 we will revisit Chicago and its dark and sombre areas of the underground crime organization. After a hard-hitting blow from Alonzo our team is back on the hunt. But it won’t be so easy this time, cause Alonzo has some very influencing friends in high places. Vinnie and his partners will need the help of the Mayor in Chicago...

Telling The Truth

(After your partners have helped you escape the prison you will find yourself in the Safe House.) Exit the Safe House to activate this mission.
(You will need to talk to the Mayor at City Hall but you will need to be discreet.) So go to Darwen’s Home before to acquire the Tranquilizer Gun.
After you get the tranquilizer gun go to the City Hall to talk to the mayor. (Tranquilize every guard that you encounter. Be quick and press spacebar to hide in stealth mode.)

On The Crime Scene

(If you still have the Tranquilizer gun I suggest you equip yourself with a gun)
Go to the Crime Hideout.
Head to the top floor and sift everyone that gets in your way.
Enter the room on the left and kill the guy beside the computer.
Click on the computer. (You will obtain the evidence you need. See the image below.)

Lack Of Money

(You need to find more proof linking the Commissioner’s involvement.)
Go to the Business Tower.
Enter the builidng and take the hallway to the right.
Go through the door at the end of the hallway.
(You will be on the roof outside) Click near the edge of the building to begin.
(You will be in investigation mode with your binoculars) Keep looking at the pickup on the bottom right of the screen next to the tree.
(The Commissioner will walk to the pickup. See the image below.) Scan and follow him to take a picture.

Introspection - Part 1

(You will need to find more proof to this conspiracy)
Go Palermo Italy.
(You will be in front of the Hostel.) Enter the Hostel and shoot the enemy that pops up behind the counter.
Head into the hallway and shoot the two men.
Go up the stairs and take the last door on the left.
Shoot the guy in the room and grab the evidence on the bed.

Introspection - Part 2

Still in Palermo, go to the Apartment Block.
Go into the building and shoot the first guy in the stairs.
Walk up the stairs and shoot the second guy.
Keep going up the stairs until you are in the apartment.
Shoot the two men in the room and take the evidence that is on the couch.

Introspection - Part 3

(This part is a little intense so I suggest you equip yourself with an automatic weapon such as an M16 or an Uzi.)
While you’re still in Palermo Italy, go to the Port.
Walk forward on the peer in front of you.
Draw your weapon and go between the containers and the building.
(Tip: With your automatic weapon simply keep shooting smoothly from left to right in the enemy’s head.) Grab the evidence behind them.

The Ambush

Go back to Chicago and head to City Hall.
(The Mayor will tell you that he can’t talk right now, and to meet him at Gigi Restaurant.)
(I suggest you reload on weapons, ammo and health before going to the restaurant.
Go to Gigi Restaurant.
(After attempting to talk to the Mayor, you will be ambushed by Alonzo’s men)
Kill all his men, and use your spacebar to crouch and protect yourself. (Important tip #1: You are better to hide most of the time and quickly sift one enemy at a time, but be quick because eventually they will all be shooting at you at the same time. Tip #2: There will be two waves of men.This is the perfect time to reload your weapon.)

Talk Or Suffer

(Right after the ambush mission you will take a hostage with you and make him talk.)
Torture Alonzo’s henchman without killing him.
(Use the chainsaw at least once and the knife to persuade him to talk.)

Hidden Ways

(The henchman you tortured told you about the hidden tunnels in the bathroom of the bar. You can reload on ammo and health before if you want. You can also custimize your automatic weapon at Darwen’s home if you want to easily pass through the last few missions.)
Go to the Bar.
Go to the bathroom to the right.
Click on the urinal to open the secret door. (See the image below.)
Go down the ladder.
Head down the tunnel and turn right.
Shoot the two men and turn right.
Shoot the dude and take the tunnel on the right.
Keep going right.
(You will be hiding next to three henchmen.) Kill them all and go to the far left of the screen.
(You will see two tunnels left and right with a door in the middle.) Take the right tunnel.
Kill the henchman in the far left and take that tunnel.
Reload your weapon and take the tunnel in the middle of the screen to the right.

City Forces

(You should now be in a room with Alonzo’s men in heavy gear ready to take you down. I suggest using an automatic weapon for this mission.)
Keep shooting the first man until he is down.
Reload if you have the time and use your spacebar to crouch and protect yourself. (See the image below.)
(Tip: to easily kill the two men behind the barrels I suggest you attack one at a time, but hide while the other man shoots)

The Take Down

(After you have killed the three henchmen click on the door on the top balcony)
Keep following Alonzo through the tunnels until you find a riot shield.
(Reload your weapon) Stay crouched behind your riot shield and shoot Alonzo in the head between the boxes. (You will need to shoot him about 8 times.

Secondary Missions:
Shooting Range – Get 100% accuracy in the shooting range.
GT Parts – Find all the parts to fix the GT.

Chicago:

In the back yard of the Gigi Restaurant.
On the side of the door leading to the basement of the safe house, outside.
In front of the Slum Building.
In the first room of the Business Tower.

Palermo Italy:

In front of the clothing shop.
On the top floor of the Beach Club.

Heavy Door – Shoot several times at the locked door in the tunnels to break the lock and grab the cash inside the room.
Full Specs – Upgrade your Walther gun to the max.
Always a Pleasure – Shoot the branch to unblock the man’s boat just next to the Beach Club in Palermo.
Hard Headed – Note: This sub-mission is particular. (To complete this mission you must complete Act 3, then reload a new game with you existing account. When you find yourself in your safe house after the intro mission go to the far left in the room in front of the stairs. Do this before doing any other missions. Alonzo should be sitting behind bars.) Talk to him to see what happens.

A list of hints and tricks that will help you complete the Sift Heads World Episodes easily and how to unlock bonus material:

Armory
You will need the access key to unlock the Armory in the basement of the Chicago safe house. The key can be found on the counter in the garage. You can equip yourself with 3 weapons max.

Gun Shops
In Chicago and other key locations you will have a gun shop with many weapons to choose from, plus any special guns related to that location. You can carry 3 weapons max... any other weapons you purchase will automatically be in your Armory.

Clothing Shops
In Chicago and other key location you will have a clothing shop with all standard outfits, plus any special costume related to that location. You can collect your outfits in the closet of the safe house from Act 3 and so on.

God of War Costume
Complete the game to unlock Vinnie’s special costume, which will only be available in the Italy clothing shop.

Easy kill
To easily kill 3 or more targets you can upgrade an automatic weapon such as the M16 at Darwen’s home.

To open the cheats panel while playing press: 6, 5, 7
Full energy: revive
Reloads your current gun: reload