According to this poll http://forums.obsidianent.com/index.php?showtopic=49615 most of us prefer to play female exile...
And yes, you lose the whole Atris / Handmaiden thing, but honestly, I didn't find that compelling at all. I didn't like the Handmaiden or Atris... bleh. Visas is bland as can be and Mira turns you down flat.
I think if you're a guardian the dialogue between Kavar and the Exile is *very* interesting and has a lot of implications if you're female... at least I'm assuming that it's being a guardian that triggers it, since I didn't get it my last playthrough... which surprised me. And while Sion's love was minor, it has fascinating implications...
Anyhow... spoilers...
Kreia does wind up leaving your party at the end... but you play through most of the end game with a set party. On the Ravager you have to take Mandalore and Visas and on Malachor you're by yourself. I think, though, that TSLRP will make it so you can take party members with you onto Malachor... I think.
Kreia won't go with you on Korriban and Atton won't go with you on your first visit to Onderon/Dxun. I think that's all the party limitations though.