I used to prefer the later style, but now I prefer the fast-paced style of the earlier games. Starting up a level and having every objective available to you meant there was almost no filler, since even the more boring objectives could be done while working on any of the other ones. The levels in the later games got a bit too big to facilitate the new objective format too. You could always just do free skate if you wanted to explore the earlier levels without a timer anyways.
Underground and Underground 2 are my favorite Tony Hawk games of all time. I played and loved the original 4 THPS games, but the THUG series blew them out of the water. What I would give for a remastered collection of those two.