I like being able to say no to Lillian. Especially when she asks you, "Tell me, do you feel even a little guilty that an innocent girl is suffering because of you?" and you can answer, "Not at all." The sad thing is that after that, there's no response from her; you just walk away from the conversation.
I hope that with my choices any romance with her is impossible.
EDIT: The only problem I'm having is that the game seems to ignore that I'm avoiding all the scenes with her, since there's more than one comment like this:
My intention is to continue avoiding the scenes with her, and this doesn't exactly fit with that.