I personally preferred season 2 over the first one, although admittedly there were some episodes about halfway that served little to no purpose (the Charlie episode anyone?). But the whole Dharma thing was bloody intriguing. And it introduced 3 of the coolest characters on the show: Desmond, Eko and Henry.
The build-up to the end, including the finale, was also much better executed than season one's imo. The blasting of the hatch just didn't cut it for me.
Season 3 has't really wowed me as of yet, although I did really like the Eko episode. I think I expected more answers from the Others, but they seem to be just as clueless about the island as the Losties. At least for now. Time will tell. I know I'm dying to find out who mr eyepatch is, for one thing, and what the hell is going on with Desmond.