What you keep:
-All items in inventory.
-Skills, skill progress, and level.
-All learned spells/abilities/Shouts.
What you lose:
-Perks. However you start with perk points appropriate to the imported character's level, so you effectively get a free respecialization.
-Quest progress (obviously - it wouldn't be a "new game plus" if the quest progression wasn't restarted)
-Items in "safe" storage areas and player-owned houses
-Any owned houses or land
Optionally keep:
-Character appearance and species. If you change your character's species, some skill levels might be lost.
I'm guessing this would more likely be an external save file editing tool - just remove all quests, scripts, and quest progression, then reinitialize everything.