I almost always go good, and make the morally correct choices. When what those choices are is a challenge, it is particularly rewarding. Sometimes I make a conscious choice to play through as a bad guy, but I never think of it as my..."canon" playthrough.
However, honestly, what game offer a morally correct path that actually is more difficult? Frankly, rescuing little sisters might be MORE beneficial then harvesting, since you get huge chunks of adam, plus a lot of special plasmids and goodies. Actually, I would love a game where you can play through as a good guy and it is nothing except harder, but the acknowledgement that you did the right thing is its own reward: kind of like, you know...real life. Closest I can think of is a no kill playthrough of Deus Ex giving you an achievement. I'm proud of the fact that I took the harder path to spare lives: It gave the game infinitely more dramatic weight to know that I valued the lives of individuals. Except boss battles, because boss battles in Deus Ex apparently aren't allowed to do anything except piss in your proverbial cheerios.
Otherwise, I'm kind of sick of games with morality lessons presenting good and evil as equally challenging, equally rewarding, almost arbitrary, cosmetic choices. There is more to good and evil then that, games can explore the difference, and it seems to be anathema to modern game designs obsession with "Balance". Let me choose the moral high ground, make it harder, and let me feel more rewarded for doing so!