Even if you don't have a saved game from the first Mass Effect (in my example, I played ME1 on 360, and am playing ME2 on PC), you can still achieve the same effect. If you choose "custom character," the game will apparently ask you questions about your decisions in the first game, in order to carry over your world into the second game. You don't get the bonuses that you're apparently awarded for having a ME1 save, but all the interesting decisions persist, which (to me) is the most important part.

I wish I'd known that before starting, really. I just picked the quick-start character, because I didn't care about customizing the diameter of Sheperd's nostrils.

Anyway, choose custom character.