Is there any special benefit in transfering a max level character?

There are several bonuses:

• A portion of the character's Paragon/Renegade points (up to 190 each, which requires the bar(s) to be 50% full) are transferred over.
• Importing a level 1 through level 49 character will grant 1,000 XP (the player starts at level 2), 20,000 credits, and 2,500 of each resource.
• Importing a level 50 through level 59 character will grant 2,000 XP (the player starts at level 3), 30,000 credits, and 5,000 of each resource.
• Importing a level 60 character will grant 4,000 XP (the player starts at level 5), 50,000 credits, and 10,000 of each resource.

Having the "Rich" achievement from Mass Effect will grant an additional 100,000 credits. The import bonuses will stack with the Mass Effect 2 completion starting bonuses (200,000 credits and 50,000 of each resource). You will also get an extra weapon.

And there are bonuses too for going from ME2 to ME3!

The Mass Effect wiki has an article that describes what transfers over between each game.

For Mass Effect -> Mass Effect 2, it lists the following are based on your character level:

• Importing a level 1 through level 49 character will grant 1,000 XP (the player starts at level 2), 20,000 credits, and 2,500 of each resource.
• Importing a level 50 through level 59 character will grant 2,000 XP (the player starts at level 3), 30,000 credits, and 5,000 of each resource.
• Importing a level 60 character will grant 4,000 XP (the player starts at level 5), 50,000 credits, and 10,000 of each resource.

The bonus resources definitely help early on, however by the end of the game I typically have more of everything that I know what to do with, so they aren't that crucial. As for the XP, personally when I finished my first Mass Effect play through, my character was around level 48, and was around level 58 after my second play through (and this was the character that I imported into Mass Effect 2). I had no problem reaching level 30 (max level in Mass Effect 2), and that was without most of the DLC that is now released.

So for Mass Effect, you do get more bonuses for reaching max level but they aren't crucial in order to play and enjoy Mass Effect 2.

I don't see anything on the wiki page that lists what is imported based on your character level when importing a Mass Effect 2 character into Mass Effect 3, however for all imported characters your powers are reset and you can reassign them at the beginning of the game. The max level of Mass Effect 3 is 60, and your character is whatever level he/she was at the end of Mass Effect 2. Personally, I imported a level 30 character, and I think he ended up around 58 or 59 at the end of my first play through. So I would suggest reaching level 30 in Mass Effect 2 before moving on to Mass Effect 3 (which shouldn't be hard to do, especially if you have most or all of the DLC).