Two voltage regulators in series vs in parallel
The important difference here is where the power is dissipated. For both circuits it can easily be calculated: 

Parallel:


\$P_{U2}= ( V_{IN} - V_{OUT} ) × I_{OUT} = ( 9 - 5 ) × 1 = 4 \text{W}\$
\$P_{U3}= ( V_{IN} - V_{OUT} ) × I_{OUT} = ( 9 - 3.3 ) × 0.8A = 4.6 \text{W}\$
Total power = 8.6W


Series configuration


\$P_{U2} = ( V_{IN} - V_{OUT} ) × I_{OUT} = ( 9 - 5 ) × ( 1 + 0.8 ) = 7.2\text{W}\$
\$P_{U3} = ( V_{IN} - V_{OUT} ) × I_{OUT} = ( 5 - 3.3 ) × 0.8A = 1.4W\$
Total power = 8.6W


The question is where can you dissipate these amounts of power most comfortably, which regulator. The higher the dissipated power, the bigger heat sink required. For both solutions, the total dissipated power is identical.

Notice that for the series configuration your 5V regulator must be able to do almost 2A, whereas in the parallel configuration both regulators have to cope with "only" about 1A.