Did the loop clockwise last Thursday-Saturday (6/11-6/13), from the southern trailhead. Found the west side to be in excellent shape, well blazed with signs of recent trail-work in evidence. Stayed the first night at Bull Brook, and found ourselves inundated by black flies. All the tentsites on the western half feature a privy and bear box, and all the sites on the loop (with the exception of Stewart, which was rather scanty) have excellent water sources close by. Second night was at East Baldpate tentsite (which you'd think would be close to East Baldpate, but instead is 2 trail miles away). The east half of the loop was far more wild, with many brushy sections, and rather scant blazing (some sections of yellow and orange blazing, along with the blue), though I found the trail always easy to follow. There are also MANY blowdowns on the east half, especially between East Baldpate and its namesake tentsite, and in the section up and over Long Mountain. The tentsites on the east half do not have bear boxes, and I believe only East Baldpate tentsite has any sort of privy (and it was a sketchy one at that). Puzzle provided a challenge on tired legs at the end of the loop, but the views more than made up for the pain. Don't miss Lightning Ledge either, accessed by a short but obscure path on your right as you descend from its namesake knob coming from East Baldpate (or on your left coming up from Lane tentsite).
As for direction, pick your poison, either will provide a good challenge. I'd do it again as a three day, and depending on temperatures, could be talked into attempting a two day. With the campsites spaced as they are, you can pick and choose how much mileage you want to do on a given day. As far as people are concerned, with the exception of the sections that coincide with the AT, I doubt you'd see many mid-week. My friend and I saw five people total on the Grafton Loop Trail proper (three on the first day, and two on the third day), while there were a couple dozen on the trails to Old Speck and the Baldpates.
Enjoy it, it's one of the best backpacking loops in the Northeast (at least in my opinion)!