Yes, it's worth it. I'm trying to 100% an NG+ save right now. Also, there's no need to finish all the DLCs. Just the main story missions, and liberate all the regions.
Nothing will transfer to the NG+, however, except achievements, skins and customizations, fast travel locations, and supply drop unlocks. Which is quite nice, since you can play some of the earlier missions with gear unlocked later in the game.