Yes, but in my case it was Dead Money. In my first playthrought of it, I was constantly lost and got frustrated, but in playthrough number 2 I was familiar with the villa/Sierra Madre and now it is my favourite DLC.
Same here, I enjoyed Dead Money a lot more second time around. Though my favourite DLC is still Lonesome Road.
As regards things that I prefer second time around, I'd have to say.... the entire game! During the first play through I didn't appreciate the backstory, characters, or anything really. But once I found a way in, during my second character, everything clicked and I loved it from then on.
Am now on character number four