How can I get Rock Band 1 songs into Rock Band 2?

(Note: This answer applies to the XBox 360 version. I am not certain whether this is possible on other consoles.)

Start up Rock Band 1 while connected to XBox Live. The XBox will tell you there is a title update available; let it patch.

After it patches, there will be an option off the Main Menu to "Export" your songs. Select it and follow the instructions.

Note that this process costs about $5, a few GB of hard drive space, and quite a bit of time... so if you are running low on time, free space, or cash this might not be the option for you.

I can only assume that a similar process will work for Rock Band 2 to get the songs into Rock Band 3.

If you own an Xbox 360, use an export disc.

If you own a PS3, use an export key.

Since no one else has mentioned it, if you have a Wii, you cannot export your Rock Band songs into Rock Band 2. You are stuck swapping discs. :(