Painkiller Hell Damnation

You CAN do this via level select, rather than signing a new pact.

Acquire all the tarot cards is my first piece of advice. These give you achievements and make the "Nightmare" and "Trauma" difficulty so much easier. The best set up is ...
GOLD: 4x Damage, Cards last 20 seconds longer, Iron Will (No damage)
Silver: Divine intervention, Mercy

This set up basically makes you a titanic super-god who can't die while the tarot is active. Use it only when you are getting swarmed such as in The Colosseum level at the end. The mercy card allows you to use the cards 3 times each level, which is a huge help, drastically making the game easier.

Souls are also good to collect whenever possible because when you reach 66 you become a demon, thus rendering you invincible and giving you the ability to one hit kill most enemies. Reach 65 souls, then save the last soul for when you know a big fight is coming up .

EG:- When fighting the four giant skeletons in Oriental castle


Other than that there isn't much more advice to give you. Be on the lookout for secret areas as well as these generally give you more ammo and health/armour which is always a nice bonus. Collect all the ammo you can find, and generally try kill enemies as quick as possible. Bunny hop around and keep moving. Use explosive barrels to take out hordes of enemies at once.