http://www.joystiq.com/2009/12/26/mass-effect-2s-save-game-import-features-explained/

This past summer, we learned that Mass Effect 2 players could import save files from the previous entry in the franchise, bringing all of the decisions made in the first game into the sequel. But are decisions capable of decimating hordes of insidious, robotic invaders? No, boosted stats and abilities are -- and according to a recent forum post from BioWare Community Coordinator Chris Priestly, players who import their saves will get access to these as well.

Of course, you won't be able to play as your super-high-level Shepard when you import -- however, the higher your character's level was when you finished Mass Effect, the better bonuses your Mass Effect 2 Shepard will receive. Some of the bonuses mentioned include extra money or crafting resources when you start the game. In addition, though BioWare has said that the game won't have a "New Game Plus" option, Priestly says that multiple playthroughs with the same Shepard will be possible.