Season 2 is my favourite as well, barely edging out Season 4.
The series broadened the world of the show beautifully, jarring as the start of it is. The union/death of the working class themes are beautifully done, Frank's is one of the best arcs of the series, and that second last episode is my absolute favourite episode of the entire thing. And then there's the Steve Earle season ending montage, which is stunning.