I prefer the first one because it feels creepier/more grounded with real fear than the second. It may just be me, but I think abandoned subways and buildings filled with depraved, uncontrollable drug addicts is one of the most genius setting for a horror story ever conceived.
They're both fantastic games, so you should play them both, but DON'T play the second one first They improved the combat for Bloodshot, so playing them out of order would be like a downgrade.