Heavy Rain's pre-order DLC in the US won't be pre-order DLC in Europe. Instead, it'll be part of the Heavy Rain: Collector's Edition box set.
Yes, Sony are going all-out in the game's home market, offering the game in a "specially embossed" box (to make it look like it's been rained on) that includes episode 1 of the Heavy Rain Chronicles, the game's soundtrack and a dynamic XMB theme for your PS3.
By 2009 standards (well, 2010's), that's pretty thin for a special edition. What, no collectible vinyl of that woman sobbing in her kitchen, gun in her mouth?