The first one is relatively easier than the second, since there are various skill combos you can use to make yourself near immortal (said skills are removed entirely from the second or changed to function differently).
There's also a password for beating the game (or getting 100% completion) that transfers an item (based on either beating the game or 100% completion) into the second. The guild name that you used in the first carries over as well, although you can change it if you wish.
I found Etrian Odyssey II to be more enjoyable than Etrian Odyssey, challenge wise. Also apparently Atlus has fixed the bugs that were present in the Japanese version, so maybe I'll sit through and beat it again...