I completed the game story and am still thoroughly enjoying it. There's a lot to explore, and I keep finding more hidden and weird stuff that's unexpected. The challenges are fun to chase and can be very difficult.
If you feel like you're just in a movie, try tracking down some treasure maps, getting all the legendary animals, crafting up perks at the Fence store, and running through the challenges. The challenge completions also build up your health, stamina, and dead eye max levels and unlock gear that boosts your player at the Trapper.
Hunting and crafting is cool, too. Explosive and incendiary shotgun shells are something to see!
Press left on the d-pad for all the extra side missions and challenges. There's a lot going on outside of the story, which does pick up in the later chapters.