As long as you sign in with the same Live account, your achievements will be visible on both sides of the fence. That is, when playing a Games for Windows Live game, you will be able to view all achievements in all games for both platforms.
However: The Xbox 360 and GfW-Live versions count as separate games, even though they will have the same title. So, if you play Fallout 3 on both the PC and the 360, they will not share achievements. Yes, this also means that you can earn a total of 2000 gamerscore by earning all of the achievements on both platforms.
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.
Best Answer
Yes, there are unlocked achievements for both of the levels, namely, Power Gamer and Extreme Power Gamer. See here
To continue a completed game, just choose new game and you will see your previous character there. Simply select it.