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When you rescue a Little Sister, the Sea Slug is "exorcised" from them; you won't get as much ADAM, but if you rescue enough of them, you can get the good ending as well as some wicked goodies along the way; like teddy bears with gifts full of ADAM and Plasmids such as Hypnotize Big Daddy 1 & 2. They're also sweet enough to include special ammo most of the time. You should also be aware that you get an achievement for rescuing, but none for harvesting.