The Rock Band 1 import costs about £3.50 and you lose 3 songs. It actually rips the sogs from the disc too, so yo need the disc. The Rock Band 2 export is a download pack which requires the code from the back of the manual, but not the disc itself. It costs twice as much as the RB1 export as far as I remember (all based on MS Points). There's a lot of songs that don't make it, but most have since been released in a free download pack. I think only 2 RB2 songs arn't available in RB3 now.
Lego Rock Band and Green Day Rock Band export as well, but I don't know how those work.