I suggest to play the game in order because the second game assume you already played the first game. The tutorial (Bayonetta 2) is not the best if you haven't played the first.

Both stories are great, is like playing DMC but as a woman. If you like to explore, you will get better improvements. Most of the items you have to collect is well hidden.

One more thing, you should play it with a pro control unless you want to destroy your joycons