Yep ... I do! And it works flawlessly. I had the same problem. I thought there was something wrong with my setup as others reported their Bioshock 2 works. So I tried again. It seemed like it was haning at the loading screen. But I had my laptop and read through some threads, went out to have a smoke, fetched a beer, phoned a friend and got myself eventually back on the couch. I little while later it was done!
It seems with both Bioshock and Bioshock 2, you need patience. It does take a long time to load! Don't know what your setup is. I use iPod v5 with rockbox, Hermes V3 and farenheits BM PS3-LAUN12345-OPENMANAGER-TYPE-S.pkg
Hope this helps