LOVE Mass Effect. Was seriously disappointed by ME3 though. It just lacked the polish of ME2 and large amounts of the narrative were cut out for DLC.
With regard to my Shepard, went with the default Male one. As for my romantic arc, it was actually really cool! I really love how it all wrapped up and was one of the high points of ME3 for me.
ME1: Went with Liara because she's the nerdy nice girl as opposed to the creepy space racist.
ME2: Actually, didn't go with anyone. At the end of "Lair of the Shadow Broker", my Shepard and Liara decided to just be friends.
ME3: Went with that sexy shuttle pilot, Cortez. Rawr. He was in pain! How could I say no? Plus, Kaiden had totally turned me off after being a little bitch in ME2.
However, the cool part about my character's romance arc was actually what happened with Liara. At the end of 3, the two share a moment together watching a vision in their minds, and Liara cuddles against Shepard in this "we've been through a lot, but we're cool" way. It had this very strong meaning for me because of the route my Shepard had taken.
It was moments like that which make me love Mass Effect. I'm optimistic that ME3 has taught Bioware a few things about what fans want out of their series and that something awesome gets announced at E3!