Nobody mentioned characters so far, so I'll do.
HL2 had a lot of great ones: Kleiner, Eli, Breen, Grigori, Odessa, "The Vortigont".
And a lot that I found to be forced into the story and didn't really care for, like - behold - Alyx and Barney. I know they were supposed to be the big heroes but, while Episode 1 did a little better in this aspect, they really were nothing but gimmicks.
The cool thing about the security guard in HL1 was, that you didn't know who this guy was outside his job. In HL2 Barney is Gordon's good old friend, making references to the beer he owed ya ect ect. But, actually, he still is a stranger - which becomes terribly obvious by the time you fight along him and see that he's nothing but a game character that shoots your enemies.
Same thing goes for Alyx. Granted, E1 is better with this, but everytime the game got emotional about Alyx the scenes felt very constrained.
I think it has something to do with how well they supposedly know you, a wordless guy with a crowbar, from the very beginning.
The most powerful characters in HL2 are IMO the ones that interact with each other or treat you like a stranger, because that's much closer to how you feel about them in return. Within all this real-time, first-person action there's little room for true emotional bounds.
One of the most atmospheric moment in the game for me is when you can just barely hear a conversation between Breen and Eli about the Combine's dimension in another room.
"...carbon stars with ancient satellites colonized by sentient fungi. Gas giants inhabited by vast meteorological intelligences. Worlds stretched thin across the membranes where dimensions intersect..."
It made you realize that whatever happened on your path here was just a small, unimportant incident compared to the huge world behind. That there were people who cared about more than your heroic shootouts in the streets of City 17. It could have gone bananas if it weren't well written, but this is superb science fiction and subtle enough to not feel forced. You spend a lot of time in very narrow corridors for gameplay reasons, so moments like this are important to give the illusion of a background, things happening you never hear or see in the game. HL1 had much more little scenes like this (like the soldiers chatting about Gordon, what they knew about their job and how they seek revenge for their buddies). The world felt bigger and, yes, more mysterious. It's good to hide the fact that the player only follows a confined path with a few obstacles thrown in for the action.
If Gordon could answer, things would be different. And further away from the player... but we had the first-person vs cut scenes discussion already.
Why snark works.