Download (the first) is awesome for a number of reasons. First, the level design is killer. The graphics are pretty damn nice for a 1990 release, with many levels featuring some pretty cool parallax (especially the pyscho-cyber levels). The bosses are mostly all incredibly large, creatively designed, and require strategy to overcome. The gameplay dynamic of having to choose your weapon setup before starting every level is pure gold (especially the first time you play through since you just have to guess), as is the unique "life" system the game employs. The game as a whole is generally very challenging.
Why Download 2 is inferior in a nutshell: while the bosses retain the same creative design, they pose no real threat whatsoever (final boss excluded). They are essentially harmless lunks that leisurely hurl a few non-threatening projectiles in your general direction. The levels feel more linear, with each level being a "stage" (9 in all), and all are approximately the same length. The game itself is easier overall... This can be attributed to the fact that the unique weapon selection and life system is gone, replaced by a traditional life reserve and an arsenal you can cycle through at will using the I button.
If anyone is interested I'll create a new topic and do a more detailed comparison.