@DeF: Moxxi doesn't net you many exp. since killing guys in it gives you not exp, only exp for completing the missions, which still isn't much. But you do get an extra skill point per playthrough. Knoxx will give you tons of exp. and is the most fun in my opinion. Fighting Crawmerax with a friend will net you lots of exp. Getting from 61 to 69 took me only a few hours playing crawmerax.
@DeF: They just call it playthrough 2.5 because it's not quite a 3rd playthrough, but the enemies are higher level and the item/weapon drops are higher level. So you're getting half of another playthrough.