I don't own an entire set of anything yet but I'd definitely keep my male ponies. I've always completely loved the male ponies ever since I was little and first started collecting, and I can't imagine parting with them *protectively hugs my Steamer, one of the first G1 ponies I ever got*. Plus I have a goal to collect all the male ponies one day (except for any OOAK ones, of course).
I know it says one set but I'd also keep my very first pony, G3 Strawberry Swirl. She's been through a lot haha, I even took her to Disney World when they had that Build-A-Pony thing and dressed her up. Fun times ^u^