Paradise Lost was the first game in Masada's/Light's 'Shinza series (Paradise Lost>Dies Irae>Kajiri Kamui Kagura). For the sake of those who read Dies Irae but still don't understand how this universe/setting works, I'll explain it in a spoiler box at the end of the post.
Paradise Lost is based in the ruins of a city once called Sodom, now the Quarantine City, a city full of poisonous miasma that causes death and mutation in its inhabitants, a city sealed from the outside world by an impenetrable barrier, a city where Darwinism is the only law. All the denizens of that city are beasts, monsters who combine human cruelty with the lack of restraint of an animal. In that city, a man, sometimes named Lyle, at others Nacht, and at yet others Death Scythe, walks the streets of the darkest, most toxic area of the city, stained with the blood of those unfortunate enough to encounter him.
That's my intro to one of Paradise Lost's two protagonists, Lyle. In a city where everyone is out for themselves, with no pretense of anything else, Lyle is a living legend, a monster who kills simply because he can, because he feels like it. Always at war with his even more violent alternative ego, Nacht, he searches for a past lost so long ago that it was forgotten by time itself. Frozen in place for years, time begins to move forward when he encounters the angel Ririel deep in the depths of the Dead Zone.
The other protagonist, Knowe Christ, is a bit more comprehensible from the average human perspective. He is a young man who is on the lowest rung of the Quarantine City's societal ladder. Born with defects that make a life of violence impossible for him, he supports his adopted little sister Sophie by selling drugs and being a 'body chopper', selling his own body parts for enough money to feed them both. He loves Sophie dearly, and she is the only thing keeping him sane in the abyss that is that city.
Paradise Lost is, like all Masada games, over the top and pretty much a perfect example of epic chuunige style (as opposed to the standard types, which are less melodramatic and grand in scale). In some ways, this game avoids everything that Masada normally does poorly (namely slice-of-life) entirely. It is pure story from beginning to end. There is no conflict between daily life and the darker struggle, because the struggle is merely an extension of that daily life. Both protagonists are dark by nature, though Knowe can be pretty frustrating for his surprising naivete (understandable, since he is a weakling by the standards of the city).
This game has a lot of great fights and slaughter, and the actual story is pretty interesting. Unfortunately, the visuals are dated (though still pretty cool) and the protagonists aren't voiced, both of which are negatives for a chuunige (you would have thought Light would have fixed that when they re-released the game). There is only one truly good person in this entire VN (Ririel), and most of the characters in the game would be considered to be monsters by our moral standards. Both inside and outside of the city the world is a huge dystopia, with merely the vector differing.
This game uses a lot of Christian apocrypha (as should be obvious, considering that Ririel is an angel) in the setting, but it is done in a way that should be pretty offensive to most Christians, lol (seriously, I don't think that Masada could have so thoroughly designed a blasphemous work even if he'd done so intentionally).
While there are six endings to the game, it should be noted that there are only two possible overall outcomes, with the only differences between them being whether the endings are focused on Knowe's side (and one of his two heroines) or Lyle's side. Basically, the essential difference between the endings is determined by whether the antagonist succeeds or fails in his main goal (ironically, the antagonist succeeding creates the 'good' endings).
Overall, this game is a great chuunige... but anyone who doesn't like chuunige won't like it, because there is literally nothing but chuunige content in this game.
Essentially, at some point in the past (though it is questionable as to whether time actually is relevant in this case) humans created 'The Throne', also known as 'Shinza'. The Throne is literally a place where the god who decides the basic rule of the world sits, his ideal/manifest consciousness subtly or not so subtly altering how the world works. Eventually, someone discovered a way to challenge the god upon the throne and rewrote reality with their own rules, creating the cycle that defines the Shinza games. The first world was split completely between perfectly good and perfectly evil individuals. The second world was ruled by the epitome of Darwinism and is the world in which Paradise Lost is based. The third world, created by the events in Paradise Lost, was a world free of original sin (thus called the 'White Realm'). Despite this essentially being a world where people's inner darkness had no reason or way to overcome them, eventually an individual, driven by a desire to see new things and discover the unknown, challenged the third world's ruler. That individual was Mercurius, the master of 'eternal repetition'. This cycle lasted for what is thought to have been millions of years in Mercurius's subjective time (incidentally one reason why he is so screwy and anyone who has too much contact with him goes a little crazy). Briefly, Marie created a fifth world (in her path) that allowed for Mercurius's continued existence, but this contradiction (the previous deity still being alive) allowed for the rise of Hajun, who almost took over before Mercurius forcibly took control and restarted things to allow Marie to retake her choice (a fact that Mercurius himself is too screwed up to remember), eventually (probably after several more cycles) resulting in the events of Rea's path in Dies Irae, finally creating the true fifth world. That was the original canon, with Kajiri Kamui being a 'what-if' scenario for if Hajun defeated Mercurius first and succeeded in destroying Marie.