Mass Effect 3 will teach you about sacrifice and loss in more ways than one.
That transpires in the long-awaited consequences (to choices made in the previous episodes), the extreme care with which it was crafted and its merciless storytelling (including an ending that FORBIDS any sequel forward).
Do not try to play this game if you have played neither ME1 nor ME2. The story would make sense, but it wouldn't register, it wouldn't move you the way it surely will otherwise.
Do not avoid this game if you have played and liked either of the previous parts.
A word of caution: this game is emotionally brutal. It will not spare you. At all.
And it will not prepare you for the worst. In fact, it will do the exact opposite: it will lure you during most of the game with gentle pacing and a general tone of "never give up". Then the final mission will start, all hell will break loose and the world will end. You won't be prepared, you won't be warned, you won't be eased into the last mission... the game will turn on you so fast you'll miss it if you blink... And you'll be left wondering why you struggled so hard, what weight your choices ultimately had and where were the 10 years that should have separated the last mission from the one before it?
In a way, you'll feel just like Shepard would. Alone, stuck and powerless.
I believe it is part design and part failure on the creators' part. ME3 is short not only because it's much shorter than the RPG genre would have you expect, but because its pacing is a complete and utter mess...
Still, Mass Effect is an extremely powerful trilogy that haunts you long after you've stopped playing it (if you ever truly do so) and in most ways Mass Effect 3 is a worthy and respectable ending.