I honestly feel this can be watched independently of S1, which had a very different feel. It was far more fairytale like and romantic.
The character of Lee Yeon was subtly different too, being more serious and detached (not that there wasn't humour).

In S2, we find Lee Yeon sent on an urgent mission, back to 1938, where the story sees him reunited with other Mountain Gods he's known since childhood and his brother, Lee Rang.
We are introduced to lots of new and diverse characters; his strained, but witty (in this series very much so) relationship with his brother; and a rather sweet romance (which didn't spoil the action).
The action is far more a feature this time and a lot more explosive.
It's a real romp, often very tongue-in-cheek and LDW looked like he was having lots fun, as did the entire, and very large, cast.
There's edge of your seat moments, some sad/tragic scenes and a fair bit of bloody violence.
There are some truly silly parts to it, but this is entertainment and fantasy, so that didn't bother me at all, even though I acknowledge the fact.
The ending is left very obviously open for a S3.
A lovely touch, is the brief guest appearance of Jo Bo Ah, reprising her role as Nam Ji-ah. She apparently did it for nothing! Me thinks this must have been a great drama to work on, with the cast getting on really well together and it shows.
I loved it.