The first 'bridging' DLC available, your actions do matter and will play a role in Mass Effect 3. Later, sucker. The Lair of the Shadow Broker begins like any other mission in Mass Effect 2: an.
Ah, not going to go there. Anyways, just an FYI, some bigger DLCs like Zaeed and uh, I can't remember which one, but those are free on the Origin version. If you rigidly insist on having the Steam version, I think the Origin version will see your Steam install as well, and it'll install the DLCs for you, so you only have to run it once to get that stuff there. Same for the first game, both DLCs are free, but you have to get them from Origin.
The above trick didn't work for the first game for me though. I already activated it on Origin, however it was a single key to activate the whole bundle so it won't activate on Steam:( I think that they only give away Zaeed and Cerberus Network DLCs, Cerberus networks gives you an armor, couple of heavy weapons and Normandy crash site and that's it.
About ME1 I think EA gives away Pinnacle Station for free on Origin and Bring Down the Sky for free on Steam, but not both on the same client, so yeah, douche move by EA as always. Edit: apparently on Origin as you mentioned, well. It's something. Even if you see it that way, paying $10 for a 5 year old mini expansion of 1 main story isn't fair at all. Specially if you see it like its price is 1/6 of a full new game or 1/2 of the full game price nowadays. That's not fair for us but EA laughs at us all the way to the bank, why?
Because that content should be either free after 5 years for everyone that spent their money on their game or at least should have a considerable discount (hell, ME2 sells for $5 on sale right now and this single mission is $10). Mass Effect is my favorite RPG franchise, it might not be perfect and its ultimate ending might not be as deep as expected, but I love the sci fi setting, the great dialog and great combat options in all of them. However EA are the kings of DLC, and not in a good way.
They strip down story missions so you can buy them as DLC and they don't make season passes or sales for them after several years of release, so that's ultra douchey. I bought the whole trilogy on X360 and bought the Humble Origin Bundle 2 (it's a shame I didn't buy the first one though) not only because of the nice games but because the standard split is that 85% of income goes to charities and 15% to Humble Bundle, that's pretty decent, they games they gave away for Tier 2 of the second week are super old and Origin only though, but it's still a nice deal. If you want the whole Mass Effect experience but you can't or don't want to pay 4 figures to EA I recommend you to buy this bundle and then look for alternative waters, at least you would have payed for the license of ME2. And who knows, a lot of people sail on dark waters and when they make more money they buy the games/DLC they played in the past.