First place through I went with Alistair, Leliana, and Morrigan. The dialogue between them all was pretty fun, especially if you get the ladies fighting over you. I also killed Wynne instead of recruiting her by accident, so that sorta limited my options. Oops.
Next playthrough was Alistair, Morrigan, and Wynne. And I was a mage. Easiest time I've ever had; with three mages you completely own the battlefield. And Wynne as a healer meant I could focus more on dishing out pain than healing my party. I don't really like Wynne's character though; she just doesn't strike me as interesting as the others. Unfortunately she's almost a necessity if you aren't a mage or don't want Morrigan in your party.
Next one through I played a slums dwarf warrior. Probably the toughest playthrough. I eventually made myself into a decent tank, and tried to switch it up a bit; used Zevran, Wynne, and Oghren. It was more interesting... but tough.
Final playthrough was as a noble human female rogue. That was a lot of fun; all the extra points let me take every ability I could ever dream of. Took Alistair as a tank, Wynne as a healer, and Shale as a buff-bot; went straight ranged after finding that melee felt kinda limited. By the end of the game I was dishing out death left and right. Imported that character into Awakening... good Lord. Archery is unexpectedly powerful; only way I could have made it better was a Leliana + Zevran + Shale party. I watched a few videos of that combination absolutely ripping up the bosses of the game.
Granted, its power is comparable to a blood mage, but the mage will also have CC and heals and potentially the best armor in the game. Really, mages are broken.
As for companions, I suggest romancing Morrigan first, breaking it off and seducing Leliana, then rekindling the romance with Morrigan using her second specific-item (a mirror bought off a vendor in the dwarf city). It seems DA's designers didn't remember to close the logic loophole that an ended romance can be restarted with it.
As for female Wardens, I'd go with Alistair over Zevran any day.
And if given the option, "harden" both Leliana and Alistair. Makes Leliana more badass, and Alistair more decisive. Also gives better endings no matter what you choose during the game (IMO).