Marie is kind of a dud but Skylar plays a huge role throughout as Walters wife, who he has to constantly keep under wraps, lie to her yet protect her from harm. It's the Sopranos school of showmaking where everything revolves around the main character and his many relationships in basically two different worlds.
I can't really explain why I prefered season 2, to be honest I don't remember season 1 that well, it's on my re-watch list for sure. I know exactly what scene you are talking about and Damian Lewis knocked it out of the park with that one, he looked in such agony and despair, just wonderful acting. The Brody/Carrie love story has to be one of the only relationship on TV and film which doesn't feel forced and cliched at all.
I discuss TV series quite alot on the interwebs, and I've never heard anyone praise The Shield quite as much as that. I do agree it's a phenomenal show, and would make my top 10. Infact, heres a hastily put together top 10 drama series:
Band Of Brothers
Six Feet Under
I still have Deadwood and Six Feet Under on my watch list. Heard nothing but outstanding things on both shows. Top list, all great shows.
Not that this means anything significant but The Shield was actually ranked as a 9.4 on imdb a couple of years ago, but some troll single handedly down graded the score to an 8.6 because it gets compared to The Wire too much by creating multiple accounts. How pathetic can you get, I mean really.
I had just had a connection with The Shield that I haven't with any other tv show to date. Sounds really sad, but I genuinely felt like I was one of the boys, part of the strike team, I was that engaged by it. I thought the writing was absolutely fantastic throughout all seasons, and in fact, I can't name a single dull episode in all seven seasons. It was a roller coaster ride, and I can't say the same about any of the other shows, all shows had their dull episodes from time to time, but I didn't get that with The Shield, I didn't want it to ever stop.