I have ME 1 for Xbox 360 and ME 2 on PC. I've played neither. I've heard there is an import character feature in ME 2. Am I missing out on anything if I don't play the games on the same platform?
If continuing your story is important to you, then yes.
You can use a save editor to set all of the choices from 1, not just the few major ones that the game lets you do. Through that you could set the exact choices for your ME2 playthrough, at which point you'll miss nothing at all.
The actual gameplay is extremely different from 1 to the rest of the series, just so you are aware. So skip to 2 if 1 is not fun to play.