One important change from the first game is the commerce system; you can now pickpocket people for money (or loot people you've killed) and use the cash to buy shiny toys such as weapon upgrades, armour, smoke bombs etc (you are no longer "given" upgrades at the end of each level as per the first game). You can also throw coins on the floor to distract guards, hire mercenaries to fight with you or hookers to distract etc. (you can also go to "travel" shops in each city and buy passage to other locations, gets rid of all the riding about in the first one).
Combat has also been improved massively, you can now "borrow" whatever weapon that your enemy is using and kill them with it, and the stealth blades can now be used as a primary weapon in a fight - but with that the enemies have been smartened up as well.