Generally, being able to import a save file from one game into its sequel just results in some small advantage, like being able to keep your old equipment. However, even the smallest decisions you made in Mass Effect will affect your Mass Effect 2 experience.

Lead producer Casey Hudson told PC World that Mass Effect save files contain information about everything you've done in the game. Mass Effect 2 will mine these "hundreds" of pieces of information from your save file and alter the game accordingly.

"Anytime we have a plot or a character or situation in Mass Effect 2, we think about what you did, potentially, in the first game that might affect said plot or character or situation in the second. We can look at each variable and dynamically change what happens in the moment. It ranges from small things like, by way of example, Conrad Verner was a fan of Commander Shepard's that you met in the first game, and it's like you meet this guy in an alley and you can be nice to him or you can be a jerk to him, and at the time you might have been thinking of it as just a trite role-playing convention, good-guy bad-guy, and that's that.

Jump forward two years. Now you're playing Mass Effect 2, and oh my god, who's this, it's Conrad Verner! And based on what you've done, you realize that while the moment in the first game maybe seemed throwaway, now Conrad's back and involved in another plot in a game you're playing two years later...and what you did two years ago is meaningfully affecting what's happening. That's a small example."

BioWare has explored this idea of threaded sequels in the past. I remember Drizzt Do'Urden being pretty pissed off at me in Baldur's Gate 2 for ambushing him and taking all his gear in the previous game. They've never pursued the idea to the extent Hudson is talking about, though.