I got this figure today, as well, and he's kind of a mixed bag. Like Natrix said, the Cage head looks better in person, and really, the lights are pretty nice when it's dark enough to really see the effect. The leather outfit is very nice, just like T2 T-800, and the accessories, paint job, etc. are all up to Hot Toys' usual (extremely high) quality. The biggest pleasant surprise to me was probably the bike, as it's quite big and heavier than I expected. I feared it would just be a cheap, light, glorified statue, but the details are pretty nice, wheels are rubber and rotate, etc.
However, not all is great. The plastic is precisely what I thought it would be, and while that's fine if you're gonna keep him lit up, it does look a bit cheap to me (and it feels and looks exactly like what you would see on a Hasbro or Mattel figure). He's also a bit thin. I understand he's supposed to be a skeleton so it makes perfect sense, but it feels like a bit of a strange juxtaposition with the bad-ass jacket and skull face on this scrawny looking body.
Overall, a pretty cool figure. Definitely a good value as far as Hot Toys figures go and a nice addition to their Marvel line, but not without its flaws. If he came with an alternate, fully painted head, this would be an A+ figure. But as it is, I say it's a solid B.