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I have two 360's. I keep my game saves on a flash drive and just use that on the system I'm playing at the time. I tried to import my Shepherd on my old 360 and it didn't work. I went to my 360s and it worked just fine (had to recreate the appearance, though). It even remembered the stuff I did from Shadow Broker and The Arrival.

The difference? My 360s had a file called "Mass Effect 2 Character Importer". Look for that file on one of your 360 HDD's and you should be fine.