Gunslinger Girl is a great show. I personally enjoyed the second season more.
I've noted my preference towards season 2 as well in the past. The second season hews very closely to the manga and the emphasis on Hilshire/Triela/Pinnochio was very welcome. I revisit it more often than the first.
Still, the first season remains excellent, appropriately well-regarded for the better animation and more realistic color palette. Even the English op song stands above the norm. Both seasons come together as a favored series on the shelf.