I experienced a bug in my just installed game Red Dead Redemption on PS3 right after the first two cutscenes. When riding on the horse the first time after passing the train tracks twice, the game lagged and the horse rode forward, right though a mountain, falling under the earth. After doing a lot of googleing, some player mentioned this always happened to him after he rode a certain distance. I tried to pass the critical place by going off the horse from time to time, and got past it finally.
Be sure to also update BOTH the playstation system and the game itself if this happens to you.