If it is a will get it on steam, if not I'll have to order a hardcopy.  Kinda want to go through steam.

From what I've read it is, similar to Dragon Age

Assuming Dragon Age got day one DLC on Steam, then it makes sense that Mass Effect 2's will be.

I think the whole "First Day DLC" is taken out of context. It's used to make sure people buy the game instead of rent.

So if you purchase a copy you will get your code and yes you will have DLC. Steam version even says it will have the Cerberus Code, don't worry :-)

EDIT: And in Dragon Age Origin's case, the second piece of DLC was used to promote the Digital Deluxe Version since WRPGs Collector's Editions tend to have cloth maps and you can't get those over the internet [YET!].
So they didn't want to give some lame digital item to people but actual content, which is what the DLC was all about. Thinking about it though, was it possible to get a 'Digital Deluxe' version for the Xbox ? The one that offered both DLC as a Collector's Edition?