Disgaea is more 'advanced' and complex, imho. La Pucelle is more 'approachable.'
Disgaea isn't exactly a sequel to LP, except in the fashion that most Final Fantasy games are 'sequels'; ie, they share some gameplay mechanics, but Disgaea does tweak some of them. As far as i can tell, there is no 'story' overflowing from LP to D. They do refer to some of the same places [the shop in both games is called Rosenqueen], but those are not essential to know about or notice, just little 'Hey, they used that name again' things.
I played Ch 1 of Disgaea then put it back on the shelf. I'm on Ch 4 of LP and am having a blast.
If you have them both, I would suggest playing LP first--then Disgaea might make more sense gameplay wise, and if you like Disgaea, it won't be like LP was a 'step down' after the fact.