Baggins: Only some items transfer over, some items are class dependent. So if you are a fighter, your shield and sword will carry over. If you buy the Chainmail Armor in QFG1 (it can only be obtained in QFG1) it will transfer into all later games (this the only way for Thiefs and Magic Users to upgrade their armor in the series until QFG5).

In QFG2 most items should transfer over from the first. So if you have thief equipment, it should transfer over. Any spells you learned, etc. I think one spell is only accessible in QFG1, and not sold in QFG2 or later (for hybrids), so its another reason to import from the first. The starting money you start out with is based on the award money from saving the kingdom, Elsa, Barnard, and defeating Baba Yaga in the previous game. But you might be able to get 'little more' from an import.

However between QFG2 and QFG3 items become more class specific. Only a few things transfer such as the type of armor you brought into the game, some money, some potions, and daggers (new characters do start with a handful of daggers though, but you can have a few more with a transfer). The Katta Pin will only appear if you transfer your character. Class will determine very specific quests you will have access to, fighter, mage and thief paths are very different, and determine what starting items you begin with. Paladin is almost the same as the fighter path (but with some extra abilities). Money might be affected by amount you had in the previous one, but is capped off after a certain amount (that is to say only a certain amount will transfer).

Between QFG3 and QFG4 you lose everything except your armor and money. Although import may affect the amount of money you begin with. Again if your thief or magic user had a chain mail from QFG1, it will transfer into the game. Again this also affects which spells get transfered over too. Class you play as is very important for which quest objectives are accessable. Especially for paladin and mage paths.

Between QFG5 and QFG4, the Daggers, Pills/Potions, if you have the Blackbird, will transfer IIRC. Again spells and abilities transfer over from previous games (or should) Although sometimes this bugs out. You can buy some spells, but some spells are only accessible if you had imported from previous games (mainly affects hybrids). You may have to use a hex editor to fix things. You will lose the 'Glide' spell, as it was removed in the game. Due to a glitch, some other abilities and spells may disappear as well (only fixable with a bit of hex editing). Some skills and class you may have imported may also affect which quests in the game you are forced to utilize. I.E. Katrina and Elsa are very class specific to who they will marry. Katrina is also very ability specific (she will not trust anyone with thief abilities). Likewise skills you have will determine the gift FA will give you for helping him out. If you have thief ability (lockpicking primarily) he'll give you a thief amulet, if you have magic (but no lockpicking) he'll give you a Thermonuclear Blast spell (suicidal and only useful for an alternate ending), and anyone without thief skills or magic will obtain Magic Helmet (this item can be obtained in other ways).

IIRC, only thiefs can 'lockpick' standard locks. Although all classes with thief abilities have the ability to open puzzle locks to bypass traps. Magic user can use "open" in some cases, and all others will have to set off the trap.