It's a cool feature, but I guess it's often left out for the sake of having a reasonable amount of challenge on replay, and for the sake of story continuity - since a lot of obtained items and skills can be relevant to the plot at times.
It worked well in X-2, since that game's so sidequest-heavy that it'd be nigh impossible to get it all in one go. The amount of flexibility and control that the player has in relation to each episodic plot is pretty huge; having a New Game + means you can gradually accumulate all the treasures from all the different possible storylines.
FFX kind of had a New Game +, in that you can retrieve the complete Al Bhed dictionary off your memory card at an early stage. No implications for the plot there; it just enables the player to understand what the Al Bhed are on about during the early hours of the game. There are some neat insights to be gleaned from their discussions.
Dirge of Cerberus also handled New Game + pretty well, I think. It's only available on the game's highest difficulty, but it means you can gather the most powerful weapons and equipment and have them at your disposal for more than just the last couple of levels, unlike a lot of other action games.
