Haven't had the priviledges of handling either one, but I can break it down for you a bit. The U2 puts out more light with a farther-throwing reflector and takes two batteries. The HDS will have less throw and less overall output, but only needs one battery. Both are adjustable, both are very high-quality. It's pretty much impossible to quantify which of the two is "better," it's really just a matter of how you use the light. You could go as far as to think of the HDS is a shrunken-down U2 but that'd be a stretch considering the differences in how they're constructed and controlled.
You'll probably find that for everyday purposes the HDS is more practical simply because of its size; in terms of sheer lighting ability the U2 is a better light but you're lugging around a lot more flashlight and killing two batteries at a time instead of one.
Don't forget to consider the McLuxIII-PD if you're looking at the HDS EDC. Only two brightness levels, probably comparable to the HDS in terms of maximum output, but it has some compelling design features (primarily, it's built to last through a nuclear holocaust or two, it's dead simple to use, there's no knurling, and it has terrific carry options.) I carry one everyday and wouldn't imagine carrying anything else for general use (unless it gets upgraded, of course. /ubbthreads/images/graemlins/grin.gif)