"Dead is dead. Mass Effect 3, as with the rest of the trilogy, is Shepard’s story. If you have a dead Shepard at the end of Mass Effect 2, that saved game won’t import into Mass Effect 3. You can play Mass Effect 3 if you died in Mass Effect 2 of course, but you’ll have to create a new Shepard. Harsh? Yes. But we wouldn’t be serious about the concept of a suicide mission if you couldn’t die and your death didn’t have serious consequences."
So there it is! Just in case you weren't 100 percent certain, now you know just how seriously you should take the end-game consequences in Mass Effect 2.