Been a while since I played Rock Band, but I'm 99% sure on this.
For exporting Rock Band 2, on the back of the manual, there should be a code to download 20 bonus songs. That code should also allow you to export your RB2 tracks into RB3. If you don't have a manual (or the code was redeemed), you can instead purchase a downloadable key for $10.
That said, To export from RB2, you have to own RB 3 since in the menus there was an option to export songs from 2.
RB3 is worth it however. Since you own Blitz, you can use those songs in RB3 as well. The reverse is not true in the sense that RB3 songs do not work in Blitz (since there's no way to export RB3 songs).
For any of the other Rock Band titles:
Rock Band 1 - Requires the disc and $5. There's no free code for the first game.
Rock Band "Track Packs" - Requires a code which is in the case. Discs were findable in the past (new) for roughly $5.
Lego Rock Band / Green Day - Never owned these, but I presume they work the same way as RB2.
Also of note, there are a few songs from RB1 and RB2 which will not work in RB3. Wasn't any more than 10 songs and mainly consisted of Red Hot Chili Peppers, Soundgarden, covers of two or three bands (although I believe the real versions of all those songs are available as DLC). Only other one I recall off hand was Hier Kommt Alex by Die Toten Hosen.