One of De Niro's best performances
I believe Robert De Niro's depiction of Neil McCauley is every bit as masterful as his portrayal of Travis Bickle, Don Vito Corleone, Jake La Motta, and Jimmy Burke. He truly disappears into the character to such an extent that all you see is Neil, not Robert De Niro. And his performance in that regard is all the more remarkable for having required seemingly little in the way of physical transformation, with the possible exception of him bulking up and getting into good physical condition, albeit not to as great an extent as, say, Raging Bull or Cape Fear. Most of the change is presumably on the inside, but it's enough to fully immerse us, the viewer, in his world.
And Neil's humanity, vulnerability, and simultaneous suavity and sheer badassery is such that this is one of the few characters De Niro has played--if not the only one--in which I found myself actively rooting for and cheering him on, even though I know he is a thief and a killer and, after the first viewing, how it will end for him. His leaving Eady is truly heartbreaking, and his death at Vincent's hands moved me to tears.