My uncle got me this game and I've been resisting the urge to play because I haven't played the first one. Do I need to know the story of the first game? Story's very important to me, so I won't play it if I can't understand it yet.
T-TM-CB-MMX-FF-KH-DMC-RAC-P3P-COD-TOG-DD "One Sky, One Destiny"
The story is very good on the first one, so if you care about that stuff you should play it. You could also get by reading the plot online although bioshock 2 doesn't directly follow the storyline of the first.