A lot of bands, their first album is widely regarded as their best (Jesus And Mary Chain, for example) and then their second is either shit (The Strokes) takes forever and is then disappointing (The Stone Roses) or simply isn't as good as its predecessory (Rage Against The Machine).
I disagree vehemently with both the JAMC and Stone Roses examples. I think that the both Darklands and Honey's Dead are as good as Psychocandy - maybe even better. As for Stone Roses, yes, Second Coming sounds very very different from their debut, but I find it to be more enjoyable on the whole. So, there's that.
In fact, I tend to disagree with a lot of these "widely held opinions". I think Antics is better than Turn On the Bright Lights - in fact, I hated Interpol until I heard Antics, and went back and admitted their debut wasn't bad (though their best song is still pre-debut, "The Specialist"). And if I hear one more person talk about how Young Team is the best thing Mogwai has done, I'll punch them.
As for bands that have gotten better with time, off the top of my head:
Yo La Tengo got really amazing, then got boring, then got good again with the last album.
Eric's Trip started out "pretty okay" then got fantastic.
Sloan started out good and got better with every album, with two exceptions.
Front 242 got better with every album (I'm not counting the reunion album, which I refuse to listen to.)
Liars constantly improve.
Spiritualized... pretty much just stay awesome.
Pulp somehow managed to improve over His n' Hers not only once but several times, which is stunning to me.
REM kept getting better until Bill Berry quit.
This could take forever... I'll leave it at that for now.
I agree about Primal Scream. They went from being "okay" to "fucking amazing" in a very short span of time.
Bands whose second (proper album) was noticably better than the first:
Pavement
Mogwai
TV On the Radio
Broken Social Scene
Low
Bedhead
Sloan
Tricky
Portishead
Ministry
Front 242
Skinny Puppy
Sisters of Mercy
Trans Am
Liars
Xiu Xiu
Camper Van Beethoven
Dire Straits
...And You Will Know Us By the Trail of Dead
Godspeed You! Black Emperor
etc...