To unlock the Insane difficulty, you must complete the campaign once on any difficulty. I would play it on Normal or Hardcore just to be better prepared for Insane.
YOU WILL NOT BE DOWNED ON INSANE. IT WILL BE INSTANT DEATH WHEN YOUR HEALTH DROPS TO ZERO.
-Stay behind cover during combat whenever possible.
-Know your enemy. Know what they are able to do.
-Try to kill the lesser enemies first. It will make it easier in the long run in most areas. This is due to much of the crossfire. So kill the lesser enemies to eliminate the problem of getting overrun.
-There have been numerous reports that if you give a power weapon (boom shot for example) to an ally AI, then they have infinite ammo and use the gun with deadly precision. So don't be afraid to let them have most of the fun ;)
Note: It is easier to play it with a friend, as you could play it on Insane and they could play it on Casual. This will allow them to mow through your enemies with ease. This also would work with a 2nd controller, if you keep the Insane profile back during combat. All you have to do is play carefully.
If you play this in arcade, then you can use mutators. These change game experience depending on the mutator. There are easy mutators, which make it easier to complete, but will give you less experience towards leveling up while active. There are hard mutators, which will make it harder (of course) but give you more xp toward leveling. And then there are fun/cosmetic mutators which have no effect in difficulty or points.
You will have to unlock them before you can use them. Each mutator has a different requirement. Here are the easy mutators that would make your life on Insane not as bad:
• Comet - earn the gold Shock Trooper medal.
As you roadie run, you'll build up energy, letting you ram into enemies.
• Instagib Melee - Kill 200 enemies as a wretch in beast mode.
Melee attacks cause enemies to explode.(Insta-kill unless invulnerable)
*Recommend playing online to obtain this. Don't be afraid to kill steal to speed up the process
• Super Reload - earn the bronze Master-At-Arms medal.
More damage and clip size for an active reload. Active also lasts until used up.
*I did this overtime in online, but you can get it quickly in private bot matches.
• Infinite Ammo - earn 100 Combat Engineer pins.
Infinite ammo for all starting weapons and pistols.
*Fastest if you play horde local/private multiplayer and make everyone give you their money. Set up multiple command posts as well. Spikes are cheap.
• Big Explosions - earn 100 Hail Mary pins.
Bigger explosions, but you didn't need me to tell you that, did you?
If you want to know the hard and fun mutators, then you can find them in the stats & awards on the Gears of War 3 menu. It is located under the "challenges" tab.
*Special thanks to The Ju1ce for reminding me to talk about mutators*
BE WARNED: If playing co-op, especially 4 player arcade, more enemies spawn on the last checkpoint of the final act/chapter. This will make things much more difficult than playing solo on insane. Be careful.
Good luck guys! This is my first guide, so please be gentle with the feedback. If for some reason you give me negative, then please explain to me why in the comments. I am always open to ways to improve my guides. Thank you.
*Special thanks to all the great people who commented and added extra tips. Thanks for supporting me and helping keep the guide as best as can be. I've updated the guide according, but for anyone reading this; you can always find a little more help in the comments*