In Borderlands 1 the second playthrough had a "playthrough 2.5" once you beat The Destroyer, which changed the game so enemies (and most mission rewards) scaled to your level. Because of this it was best to play only story missions until beating the Destroyer so mission loot would be the best loot possible.
How do the playthroughs work in Borderlands 2? I've unlocked True Vault Hunter mode which starts out just like playthrough 2 in BL1, but I don't know if there's a "2.5" equivalent of if it's finally a real third playthrough or what.
Best Answer
The system is mostly the same as it was in Borderlands 1: Beating playthrough one does nothing except unlock playthrough two ("True Vault Hunter Mode"), beating playthrough 2 scales enemies and rewards to your level, unlocking playthrough 3 (if you're level 50, I believe). Playthrough 3 is new and scales to your level from the start.
True Vault Hunter Mode (playthrough 2-2.5)
Playthrough 2 is unlocked simply by beating Playthrough 1, and is identical to playthrough 1 until completion except with higher level requirements, higher level enemies and generally harder enemies.
Once you beat playthrough two, enemies scale to within 3 levels of you; some weak enemies (like Skag Pups) may be level 48, most enemies will be level 49-51, bosses will often be level 52, and occasionally enemies will even be 53. This is known as "playthrough 2.5" as it was in Borderlands 1.
Loot scales to within a couple levels; most drops will be level 49 or 50. Quest rewards scale to your level too; this is why it's important not to start certain side quests until playthrough 2.5, otherwise you'll miss out on the highest level rewards. Side quests scale to when you start the mission so don't take them too early, if you want a level 50 reward, wait until you've finished the main quest. Of course if the reward is green, you can go ahead and do it because the reward is junk anyway.
Note, without the UVHM DLC that it's still important to cap out your level, not just get to playthrough 2.5 before getting rewards, but as of right now the max level without the UVHM DLC is still 50, and it's hard not to be level 50 by the time you complete the second playthrough.
Ultimate Vault Hunter Mode (playthrough 3)
As of a patch April 2013, there is also now an Ultimate Vault Hunter Mode or playthrough 3, which is scaled to your level and much harder. It's mostly explained in these patch notes and this explanation:
Generally speaking, enemies are harder, have much more health, slag is much more effective, rare drops are increased and certain new E-Tech relics and Pearlescent (cyan colored) equips are avalible only in UVHM. The E-tech relics and Pearlescents are only availible in UVHM for people with the Ultimate Vault Hunter Upgrade pack ($5 DLC, included for free with the Season Pass).
Note that due to the increased difficulty and increased efficacy of Slag, UVHM is particularly suited to co-op play. Just like in "raid" boss fights, a Siren with Res is always useful.
To my knowledge there's no "playthrough 3.5" since the ".5" was always about enemies/loot that scale to your level. Playthrough 3 scales from the start so there's no extra post-playthrough for scaling.