Out of curiosity...

Their are a few punk bands out there that actually cared about being able to play their instruments. Fugazi, NoMeansNo, Minutemen. Black Flag also got progressively better. I thinks its hard for any band to become more extreme in the metal sense because when you're young the hormones just come charging out of the gate. As a person gets older they usually mellow and can get even more interesting.

But outside of metal bands Fields of the Nephilim second album outdoes their first first in every way I think
 
I agree with SilentSong, the first band that came to mind was Ministry. The pictures of them as a pop act at the start of their career have to be seen. Not sure I agree that they did not improve though, there are some absolute classics in their catalogue and the last album wasn't too bad either. Certainly an improvement on some of their other recent releases.

As for Fields Of The Nephilim, I don't think that you can really compare their albums that closely... they are all vastly different. I do prefer the second one, but the third is one of my favourite chillout albums and the first one probably prepared me for the more harsh style of vocals that I moved onto later. The Nephilim are still one of my alltime 5 favourite bands.
 
^ The Nephilim do rule. Ever listen to Carl's solo album Zoon released under the moniker Nefilim? I enjoy that as well.

Since Ministry has been mentioned I'll just say NIN did that as well. Started out with poppy industrial songs, then on Broken and the Downward Spiral released albums that were walls of noise.
 
I can't believe no one has mentioned Pantera yet. Their first four albums (which they deny exist) were goofy glam metal, then they became one of the most influential heavy metal bands ever. They more or less created groove metal.
 
^hahah! great example. i think the fans themselves deny they exist as well. I remember the first time i saw some of the covers in a magazine. i thought it was a joke. anyway, it's amazing how they're glam career was almost 20 years ago (wasn't their first "real" metal album in 1990?).
 
I'm not sure when Cowboys from Hell came out (what you said sounds about right). I'm not a huge Pantera fan, but I know enough about them.