I went with female Shepard. If I couldn't be gay, I was gonna be a lady haha. Plus, I found Jennifer Hale's voice acting much better than the male actor.
Saved and romanced Kaiden in ME1(Ashley is probably my least favorite character in the series). In ME2, I ended up falling in love with Thane... He had a sexy voice, and Kaiden was being a dick. In ME3, Thane's romance didn't turn out so great(to put it mildly), so I ended up rekindling things with Kaiden. I really liked how things with Kaiden went in 3, and regret my indiscretions with Thane now...
If I were to replay the series at some point in the future, I'd probably make a man(default -- I could not for the life of me make a decent looking custom male Shep), and be single/save Kaiden in ME1, stay single in 2, and get it on with him in 3.
That said, I would ditch Kaiden for Vega ANY day of the week. In ME3, I wanted him to be a love interest the whole way through :P