Title says it all. Season 1 is far better paced and focused than season 2. I'd say the first 3 episodes of season 2 are the best but once the plot moves back to New York its just 8 episodes of characters having mental breakdowns about Billy. Season 2 is overly stuffed with villains and has a tangled jamble of a plot that doesn't fully unravel itself until partyway through the season.

I'd say you aren't missing much watching season 2, but season 1 is very much worth your time.