If by Xbox Live you mean Multiplayer then no. There is no online Multiplayer for Mass Effect 2. ME2 is strictly a single player game.
But, you can be connected to Xbox Live and get exclusive offers and DLC's via the XBL Marketplace, that are hard to pass up (if you can pay the price for them :P)
Mass Effect and Mass Effect 2
No mass effect 2 will only be on xbox 360 and PC
mass effect 2
Currently, it is out for PC and Xbox 360
Zaeed Massani is a mercenary that you can get in your squad via download from The Cerberus Network (requires XBOX Live)
You can not sign out of the Cerebus Network if you are connected to Xbox Live. If you absolutely do not want to sign into the network, just don't sign into Live.
Xbox 360, PC and PlayStation 3
Not all of them. Maybe one or two of them, but all four games will not fit on a 4 gig hard drive.
You probably mean, DLC. DLC stands for downloadable content. BioWare release DLC for ME2 on xbox live, every so often.
Yes, it has already been released for PS3, and when Mass Effect 3 comes out in December 2011, it will be for XBOX, PS3 and PC.
$500 tops
If he died in Mass Effect 1 then he is not in Mass Effect 2. If he survived Mass Effect 1 he shows up in Mass Effect 2 but he can not be killed.