I like Wesley and Lilah together - they are two broken and lonely people finding comfort in each other. There are real feelings there, even if they both pretend there isn't and they have some very sweet moments, although mostly after she is dead. I think it's only once she's gone that Wesley really feels the full weight of what she was beginning to mean to him. You don't know what you've got 'til it's gone.
I think his feelings for Lilah were far more real than his feelings for Fred though. Fred was always a fantasy, his courtly love put on a pedestal. It wasn't the real Fred he loved, it was the idea of her. With Lilah he had the reality and he was so complex and morally grey, willing to do whatever it took for the greater good, that he fit far better with Lilah - who was willing to do whatever it took for the greater bad, than he did with Fred who wouldn't kidnap babies, or keep slave girls chained up in closets no matter what the stakes. But Wesley wants to be a champion and Fred wants to be with a champion, so he wants to be with Fred - because in his eyes that would mean he must be a champion. Being with Lilah means facing the greyness in his soul, admitting he is this dark person and not this champion of light. So even though he is much better suited with Lilah, has something meaningful with her, he can't want or accept it ... until it's too late, and she's gone and he knows what he has lost.