Please don't read the rest of my post if you have not watched the latest series already.
I like the fact that they UFOs appearances are unexplained - I think they appear any time there is a mass murder, possibly to study our race/their project. Also, the aliens are pretty much responsible for the whole series, had they not appeared at the start the RTA wouldn't have taken place and, at the end, The Butcher wouldn't have been able escape.
I did make the link between S1 and S2 to an extent but not as far as Hanzee is concerned. On that note, his killing spree has to be one of the best/worst I've seen in a TV show/film, he just kinda went all nuts without any emotion! Also, I watched a bit of the last episode again (FYI his face was burnt in the big shootout scene at the end, by the crazy lady whilst he was distracted by the aliens) and it looks like he purposely tried to wound The Butcher rather than kill him in a single shot.
I preferred S1 but S2 had some pretty decent scenes, the finale being pretty intense and Mike Milligan generally being particularly great throughout (best character by far). I found the killing of the daughter a bit sad and traumatic.
Edit - I just remembered the basement scene when crazy lady starts having visions