Outside you need to wear a gas mask (and some points in the tunnels too) so you need to make sure you have spare filters. The environment of Metro 2033 poses plenty of challenges.
Keep your eyes and ears open, because the clues are weaved into the very fabric of the game. It might be that you die trying too many times and attempt something different. There are options open to you however, and digging around you'll find some alternative routes and approaches to different levels. Set mostly underground, the gameplay can be a little linear: you follow tunnels or routes through complexes, never really getting the freedom to roam.