Sexuality - I have a mix really. Usually, I try to start my Sims off as straight so that they can start their genetics and have multiple babies. If my starting Sims are gay, then I will create a "surrogate" using the genetics of their partner so that they can have a baby.
Ethnicity - usually, I'll make my starting Sim modeled after me. Once I have my Sim established, then I create random Sims that remind me of people I know in real life. Canada is pretty multicultural and diverse, so I usually have a few brown/black/asian/etc. Sims. I don't really make a lot of Sims, though ... I primarily play the starting Sim I created and then have a separate household of people I know. Currently, my separate household has black, asian, and white. (3 Sims) My primary Sim, modeled after myself, is of mixed heritage, but through a Sims perspective, it's just a skin tone and nothing more.
Religion/Spirituality - I'm not religious. I find it kind of odd to assign them a religion or spirituality. I wouldn't mind having a Sims-created spirituality, like "Llamaism" or something (The Dalai Llama! But some people might get offended...). I also don't mind having religion in the game as long as it's just through objects with non-religious interactions. They've already included Kwanza, Hanukkah, and Christmas into the game, and I don't mind that. However, I don't think it's okay to have a bible in the game that is based off of a real religion. If they have some "Llama Book" that your Sim reads and gets "inspired" because it was an enlightening book about Llamaism, then I also wouldn't mind that. If they were "praying" (It may be something different in game, like doing yoga in front of a Llama statue) to Llamas and they got into a "happy" mood for it, I don't think I'd mind that either. To me, I'd just want them to keep it on a shallow, quirky level. I highly doubt they'd add religion because it's such a touchy subject, but if they did for some reason, then I'd like them to execute it in that way.
I like seeing things like traditional dishes from other cultures as well ... if it's too extreme to have "Christmas day" or "Kwanzaa day" in the form of a social event, I think it would be cool if they included the traditional foods that people usually eat on those holidays. Christmas - Turkey; Hanukkah - Latkes; Kwanzaa - I'm not too familiar, but I'm sure there's something ... people could then just throw gatherings, make their traditional foods, and pretend like their Sims are celebrating their holiday.
