Yes, it's fun. These games are mostly about manipulating enemy AI, who act in predictable and consistent ways, to find creative methods of making your way through levels. Your crew have unique talents that mostly revolve around tricking, distracting, or luring guards into doing things.
For the most part you sneak through areas by causing distractions, manipulating guards, attacking or KOing them, and avoiding their viewcones. Sound does play a role though - stepping in water creates a small amount of noise, firing a gun creates a lot of noise, etc. In Desperados 1 you could use dynamite explosions to lure enemies to places, but it was comically overpowered.