[Spoilers, by the way]
I've seen Infernal Affairs before, and liked it. We rewatched it yesterday, then watched Scorsese's Oscar-winning remake, The Departed.
Overall, The Departed had stronger backstory and characterization, and we were really appreciating it right up until that massive buzzkill of an ending. You see, in Infernal Affairs, the mole in the police department clearly makes a choice to kill his crimelord boss and choose to become the thing he's been pretending to be -- a good cop. As m pointed out, in The Departed, the mole in the police department never makes any decisions. His killing of the crimelord is in self defense, and then he basically just keeps himself safe right up until he's killed at the end.
As littlestar says, "How did they miss the whole point of Infernal Affairs?" I'm inclined to agree. The ending of The Departed even felt like the mainland China alternate ending of Infernal Affairs, in which the mole is caught and it all ends like, well, a bad cop movie.
The Oscars thrown at Scorsese for this one were definitely "We're sorry we didn't give you Oscars earlier in your career," rather than for the quality of this overall effort. It's too bad, really, because the movie is really, really good up until the last half hour or so, when Scorsese goes soft and wanders into rote drama territory.