Can you import your character from an earlier game into later games in the series, like in Baldur's Gate?

I've not played all the games in this series, but to the best of my knowledge characters cannot be transferred from game to game.

Each game has a different protagonist.

Unfortunately not... they're still super awesome though.

Thanks, I bought the game and I'm really enjoying it, especially the open ended nature and the factions. I'm kinda disappointed that I won't see my original character progress from weakling to demi-god as I play through the series.

Well you still get a chance to see a character grow immensely in power along time as you walk the dangerous path and gain in power, you will face some hard decisions in the game and affect things for the times to come in each game helping shape the future of the world that comes after.

I'd say even without the ability to transfer characters over, you get a feel of a great story arch.

You get to see that happen in each individual game instead! I actually liked the way it's handled, because the exploits of your previous adventurers become history (and even legend) in later games.