Games like Mass Effect and Dragon age are examples of why you shouldn't do such choice heavy games when there are going to be sequals. It's inevitable you will feel like your choices don't matter in the end.

It bothers me a bit is Elder Scrolls as well, but not quite as much. it just seems awkward to me that in each game you do this epic journey of some kind or another, but inevitably it has no consequence on any country outside of the one you did it in. It boggles my mind, but at the very least your choices have an impact there.