I would argue yes for some and no for others.
Arrival- this "happens" in ME3 whether you play the DLC or not. Its conclusion is why you are on Earth at the beginning of ME3.
Shadow Broker- play this if you romanced Liara in ME1 and want to keep that romance open as an option.
Overlord- mostly irrelevant to the main story.
Zaeed & Kasumi - if you want them as squad members in ME3, you have to import them from ME2.
I think those are all the big ones. The rest should be irrelevant.
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