This concept describes when a sequel to a game lets players import their character with items, stats and/or gear from the previous game. One of the most popular examples would be the Mass Effect series which lets players take "their" Commander Shepard with them throughout all three games.
This includes the state of the game world which was affected by the player's character in a previous title. An example of this would be Dragon Age II that optionally imports a cleared game save file from Dragon Age: Origins without importing the player's character but instead carrying over the decisions made by the player and how they affected the game world which is then reflected in the other game.
It does, however, exclude games that don't import character or world-specific elements from a previous game in a series. Games that unlock bonuses if they find save data for another game can be found under Save File Unlockables.