I remember playing these games a few times, just to see the options available. In the end, I chose:
Mass Effect 1: Liara. I was curious and wanted to see where things would go.
Mass Effect 2: Tali. Same reason as before and I like her character.
Mass Effect 3: Liara. This was a bit of a hard decision just because I like both of them, but I thought I should continue from before.
I haven't played as Female Shepard, but I'm curious to see how that goes.