Ok so the spoilers are only from the first game which is 2 years old so I don't feel bad posting them.
If you play the game without a save file it automatically assumes the following:
1. Council died.
2. Whichever gender Shepard you are, you saved the opposite gender human under your command.
3. Wrex died.
4. Picked Udina to serve on the council.
Other than that, other things from the first game do carry over, such as you getting more dialog options with old teammates if you romanced them or completed their side quest. In addition, you get a ton of credits and materials for upgrades. Lastly, if you played up to a certain level you start at lv 2, and if you got to level 50, you start at 3. If you completed ME1 twice and got to lv 60 you start at level 5. So that's rather nice.
Next, there's a website that has save files for ME1 that you can easily download (they're between 50-100kb) and install in a self-created ME folder just to access for ME2 new games. I can't recall the site at the moment, just google ME1 save games, should be near the top. I did it because I was highly annoyed with the default choices the game had and I had done pretty much the opposite for everything in my old game... but couldn't transfer because it was 360 and not PC... So I cheated the system, but it's all good ^_^
Also... the voice actor that did the female Shepard completely embarrassed the male Shepard voice actor. She's full of emotion, inflection and character and the male one is... well flat and same-sounding the entire game. So, if you can play a female Shepard, I do recommend that.
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I am Jon Stewart with some Colbert cynicism, Thomas Edison's curiousity, wrapped around a hardcore gamer sprinkled very liberally with Deadpool, and finished off with an almost Poison Ivy-esque love/hate relationship with humanity flourish.