Hint: Bypass the Locked Gate in 2-1
At the very end of 2-1 you'll ascend a building before fighting the chainsaw-wielding maniac. At the top of the building, you are prompted to split up so Sheva can work her way to the other side of the locked door below. You can avoid this entire scene and stay together by unlocking this door in an alternate way.
You'll need a hand grenade, which you can find on the first balcony up the stairs in the building with the locked door. Actually, you'll probably need more than one since this is a tricky toss. On this very balcony (the first one, not the top one), position yourself directly across from the "Animal Health" sign. Lob a grenade at this sign (aim a but lower than you think) and it will rebound off of it and land near the locked door below. This will blow off the lock. Go downstairs and exit via the door.