The Mass Effect series is noted as having a jarring gameplay change between the first two games. In the first game, your various firearms never run out of ammunition; they instead build up heat with each shot fired, and if this heat hits a certain threshold they deactivate for a few seconds to cool down. This eliminates one piece of tiresome bookkeeping from the game (sadly, many remain, and the interface is not generally of the highest quality) and fits in well with the space opera theme. Below the fold, there will be spoilers, as if that matters...
By the second game, which is set two years later, all the firearms have been replaced by ones which use a mechanism named "thermal clips" to re-implement limited ammunition. The gameplay is functionally identical to using limited ammunition. The in-game encyclopaedia attempts to justify this by claiming that during the end of the first game, the enemies you'd been fighting all game had done statistical analysis that boiled down to "It is possible to miss fast enough to win a gunfight", switched over to the new system, and somehow (despite this race being seen as always evil, and the obvious disadvantage of being able to run out of ability to fire your gun) convinced EVERYONE to switch over. What makes it worse is that people have claimed it's reasonable for this to have happened in two years, despite there having been no sign of such a transition at the end of the first game; not even a line by one of the cleanup detail, mentioning that this dropped enemy weapon looks interesting. The change essentially comes out of nowhere.
Somehow, despite this change coming out of nowhere, your character instantly recognises that a) the initial pistol you're given to start Mass Effect 2 uses the new system and b) it's out of, fuck it, let's call it ammunition, because functionally that's what it IS. Not a problem, it's been two years; but there is a problem. That problem is that your character has spent almost the entirety of those two years dead. You're killed off in the opening "this is how to walk" tutorial, and it takes them two years to pull a Lazarus on you. Now the problem becomes that the new system became standard within a couple of WEEKS. Even with the demonstrated on-demand manufacturing ability of this universe, it's just too much of a stretch.
Here's how we loophole it, though: the two systems have coexisted for a long time. Civilian-obtainable weapons have been constrained to use the limited ammunition model by legislative means, while military-specification weapons have used the unlimited method because no sane commander wants their troops running out of ammo, and the disposable heatsinks aren't worth complicating the supply chain for. This also neatly explains the presence of thermal-clip weapons on a crashed ship which has been out of contact with the rest of the galaxy for TEN years; they weren't carrying any milspec weapons, because they weren't licensed to.
That then raises the question of why did Shepard switch? Two things to explain that: first, Shepard went from a governmentally-endorsed soldier/spec-ops person to working with a front for a terrorist organisation. It's probably difficult to obtain milspec weapons in that situation. Another possiblity is that the enemies who figured out missing fast enough to win didn't invent the thermal clips - merely figured out a radical increase in their heat-absorbing ability, making it worthwhile to foul up a military or quasi-military supply chain with cases of the things.
What this fails to cover is why Shepard never carries anything like enough of the things; they appear to be about the size of an SD card, and of very little mass for what they do, so why not simply leave on every mission with a couple hundred of them? Why cut your ammo allocation to the bone and beyond? An experienced soldier will typically aim for an ammo loadout of "as much as they'll let me have", even with current-day heavy brass-and-lead bullets. If you can carry the equivalent of a couple thousand rounds in an Altoids tin, it makes no sense whatsoever to limit yourself to a couple of hundred.
Of course, the real reason is the developers' desire for ammunition tension as they tightened up the admittedly mushy combat mechanics, but they could have explained it so much better than they did. I'd have preferred a simple retcon over their halfhearted attempt to explain.