My first impression of seeing Yab Yum, I can't accept it, I thought how could people in these days being disrespect by making a Buddha statue that having sex? But after the explanation from my friend, I understand it's not made up by the modern people, it's originally from Tibetan Buddhism. Like you said, it represents compassion and wisdom.
I do not know much about Tantra, what I know is that, desire is one of the element to overcome when you are practicing Tantra.
I read some articles online about Tantra practice (I am not sure is it real), it talks about when the practitioners practices, they need consorts. So they will need ladies to help them to complete the practice. They need to stay in the state before orgasm, and hold it.
Well, I believe there must be a reason of doing so. There are so much thing which beyond my knowledge, I hope one day I can understand more.
For my favorite Buddha with consort, I like Chakrasamvara. I do not know how the reason why, but I love it since I first saw it. Chakrasamvara represent the embodiment of indivisible bliss and emptiness.