Who should my first male Shepard romance?

In ME1, you can express interest in both available romances, either Ash and Liara if MaleShep or Kaidan and Liara if FemShep. After the 2nd plot mission is complete and you report to the council, the two of them will confront you in the comms room and ask you to choose between them. You can indicate which one you really care about or you can suggest a love triangle. However, if you do select the triangle, the human will get angry and dump you and you'll default to romancing Liara at that point.

You can initiate romances with all three of Miranda, Jack, and Tali and all three of Jacob, Thane, and Garrus (if FemShep) to the point where the photo of your ME1 LI is turned down on your desk. In the next, conversation, they will tell you that they don't want to share, at which point you will have to select one. I've never tried just not conversing with them again, but I believe that if you don't actually break it off with 2 of the 3, no romance scene will happen when you embarked on the SM. If you do break it off with 2 of the 3, the one you keep will initiate the sex scene when you head into the Omega 4 relay.

ME3 works a little differently if you're wanting to pick up an old romance, you have to indicate to that LI that you're still interested in them during your 1st or 2nd meeting with them and the cues are different for each one. For some, you also have to confirm the romance later on and if you don't there can be serious consequences for some (for example, Miranda will die if you break up with her; but may not die if you just lock in with someone else before a specific converstion with her such that you wind up just drifting apart).