In the first series, she had a bit of a crush on Merlin. but that grew into a great friendship. Then she fell in love with Arthur and Lancelot, in series two. But Lancelot went away. So she grew more attracted to Arthur. And now Lancelot is dead and she is married to arthur. So i guess she loves Arthur very deeply. but don't be fooled. she also loves Merlin and Lancelot. But on a different level. She will however lay down her life to save theirs.
Answer 2: Also, I think she probably loves Arthur the best. Merlin is her great, trustworthy and very close friend. She loved Lancelot but I think that went, as we can see in Lancelot Du Lac when Morgana used Magic to make Gwen fall for him. She loved Arthur, even in exile, when she held his ring in times of need. They have really great chemistry so I know it's probably Arthur.