Sometimes video games do this media 'convergence' deal terribly -- they splurge their IP on every form of media possible and it makes little to no sense -- but a Max Payne comic book? That makes perfect sense. Particularly when the writing is a collaborative work between Sam Lake, who helped write the original Max Payne, and Dan Houser from Rockstar.
Comics like these -- or novels, or Anime, or live-action -- I usually tend to ignore them. They usually feel a little off canon, and I don't normally play video games for their scintillating narrative content, I play them because I like games.
However, given the whole comic book aesthetic of the Max Payne franchise, and the calibre of talent involved in its production, I'll most likely give the first issue a look at the very least. The comic's story centres on key moments circa Max Payne 1 and 2, flashing back "to tell the story of Max's troubled upbringing - shedding new light on Max's life".