I doubt that's an option. The skill system and general balance would be screwed.
I saw that option in few games and work perfectly
swordscythe is right, it is no so easy. Just look @ Gothic series, when migrating from g1 to g2 we didn't save any of our stats and skills because there is no point in battle/skill/expirience system if your hero is strong enough. Devs were forced to make a reason why hero is so weak in G2.
A bit different thing happened between G2->G3. I remember that Gothic community was a bit bitchy about first scenario, when hero's ship was wrecked. "That reason is too pre-decided", they say. So, devs again was forced to find a good, plot-related and not so stupid-looking reason how to transfer a hero and his state between games.
There is so many aspects, and such. Seriously, it not so easy. I prefer to start new chapter/episode from a "blank list" even if it is not so realistic. Better to sacrifice realism but not gameplay.