ME2 is favourite but feel it has pacing issues in the final 3rd (you can accidentally miss time things and get a bad ending). ME3 isn't as bad as many make out, just it dived of a cliff at the end.
Correct Shepard is Female Shepard, mainly because of Jennifer Hale's performance. Male Shepard can seem stale and flat at times when female bosses it, like a leader should.
Hmm, pie.