Metal Gear 2:Solid Snake is head and shoulder's better than the original Metal Gear and it set up the MGS formula as well for gameplay. MGS1 is better than MG2, and MGS3 is the best entry in the series IMHO.

Mega Man 2 is way better than MM1 and well, most of the MM series. I'll second that MMX is a better sequel series over MM though.

Devil May Cry 3 is still the best DMC entry. DMC4 had some potential but committed a cardinal sin and is banished for it.

Star Ocean 2 is still better than SO1 or well the rest of the series.

All of the sequels to Persona 1 are head and shoulders better than the first game.

Shin Megami Tensei is a better spiritual sequel series to the original Megami Tensei series.

Lufia 2 is still better than Lufia 1, as well as most of it's sequels...

All of the Breath of Fire sequels are better than the first game.

Amplitude is better than Frequency

DDR MAX 2 is better than DDR Max 1

Also inb4 SFII is better than Street Fighter.