IMO, you definitely want to import your Mass Effect 1 character into Mass Effect 2. All of the major choices that you made in Mass Effect 1 will be reflected.
For example, at one point you visit the council on the Citadel, and that plays out completely differently depending on whether or not the original council is still alive (same with the choice of who you nominated for the council, Anderson or Udina). The same goes for who you killed on Virmire (Ashley or Kaiden) and if Wrex is still alive.
The same is true for the side quests, to a lesser extent. However most of these only have the follow up in the form of an e-mail to your private terminal on the Normandy, but it's still cool to know that your choices had a lasting effect on the story.
If you had a love interest, it doesn't have a huge impact on Mass Effect 2. When you meet them, you share a brief kiss, but that's about it. You are free to have a new (different) love interest in Mass Effect 2, but apparently that will have some sort of impact in Mass Effect 3.
Bioware did an excellent job continuing the story you started in the first game. If you could make a choice in Mass Effect 1, it is reflected in Mass Effect 2.
As for importing characters, I'm not completely sure about this but I believe that you can import any play through for a given character (it's been a while since I imported my Mass Effect 1 characters). If you don't mind doing another Mass Effect 1 play through, I'd suggest starting again with your level 60 character (or whichever one you want to import), and make all of the decisions that you want to carry over to Mass Effect 2. You could always put the difficulty on easy to help things go faster.
If you want to know how a given quest affects Mass Effect 2, you can always check the Mass Effect Wiki.
If you don't import a Mass Effect 1 character, the game basically makes the big Mass Effect 1 choices for you. Also, some dialog that is present for an imported character is not present for a new character (mostly minor things, but some text wouldn't make sense if you didn't play the first game).
Finally, at the start of Mass Effect 2 you are able to change your class and physical appearance (don't worry, it makes sense in the context of the story). You can't change your sex or name, however.
For a PC, there should be no issue as Eric states. For consoles, there may not be an issue, and it all depends on a lot of factors.
Games are never format dependent, though they may be region locked. It's purely a limitation that's there because the manufacturer wanted it to be; once that has been bypassed one way or another (modding, FreeLoader, Action Replay...), then it can become possible to run the game.
IIRC, the only connection method that may cause problems is using an RF adapter; none of the others are subject to issues because they don't use PAL/NTSC/NTSC-J for transmitting the signal. All consoles these days support a 60Hz output, and I can't remember the last time I saw a TV that didn't support 60Hz input. (I'm not entirely sure about how it looks for US/Japan for TVs that can do 50Hz, but at least for modern consoles, all games can run in 60Hz anyway.)
Additionally, the PS3 is advertised as being completely free of region locking for PS3 games, while for the XBox 360, some games are actually region-free, and Mass Effect 2 is supposedly one of them.
So no, you should have no problem at all, regardless of which system the game is for - as long as your console works with the TV (which it should, although you may need a power adapter if your console is not bought locally).
Best Answer
No. Only the decisions of the current play through will matter on the third game. So you can experiment on your first play through and then get the bonuses and plan your second play through.