Yeah, you even get to keep the equipment you had in previous game except omni-tool if I remember right. Every time you finish the game, it saves automatically separate final autosave, so you can pick any of those final saves when you start ME2.
Actually, I doubt you get to keep all the same equipment.
Armor is now split in 5 different slots, and all those incendiary/poison/frost rounds are now Soldier abilities instead of ammo upgrades. I'm sure *some* equipment will be kept though.
Death was talking about the new game plus, ME 2 probably gives you some base equipment. Which would be funny, considering where you start.