For beating the game the first time, you unlock New Game + so that you can go back through the story.
You also get I Never Asked for This difficulty so that people who thought the first run was too easy can really put themselves through the wringer.
In the post-game, you get to see Jensen and Vega have a conversation back in Jensen’s apartment. Afterward, the credits play. Stick around! There is one more goodie after the credits end.