Yuri has complained a few times throughout the series about never having been on a date with a girl and has said that, if he marries anyone, it will be a girl, but this isn't enough proof. In most cultures in the world, it's expected that a male would date a female at least once. It's also expected that, if a male gets married, it will be to a female. In Japan, there is also strong pressure for everyone to follow the status quo. This is a good indication that he just wants to fit in with everyone else his age.
He doesn't spend time daydreaming about girls or chasing girls like his classmate, Murata Ken. He's also never shy or embarrassed while in the company of a pretty female unless said female has said or done something to make him feel embarrassed. On notable example is Cheri's tendency to smother him in her boobs when giving him a hug, but it's next to impossible to avoid this since they're so big. He treats pretty females like he treats everyone else. In other words, his behavior, when taken as a whole, doesn't support the conclusion: "Shibuya Yuri is straight."
When he first met Wolfram, he called him a bishounen, which means "beautiful boy" in English, but, in all honesty, he was just stating a fact. A few moments prior, he'd called Cheri a "sexy queen."
He never broke off his accidental engagement to Wolfram. He's the king of Shin Makouku, he doesn't have to answer to anyone but himself, which means that breaking it off would have been an easy thing to do. Yet, he doesn't really treat Wolfram like his fiancé and is embarrassed when Wolfram brings up their engagement. It's probable that he never broke it off because he didn't want to upset Wolfram, either for Wolfram's sake or for his own (since Wolfram has anger management issues and can wield fire magic).
When Yuri is at Blood Pledge Castle, he and Wolfram sleep in the same bed. Yuri protested against Wolfram sleeping with him several times, but eventually gave up. Again, this protestation could have been automatic. Later, his complaints likely stemmed from the fact that Wolfram tends to steal all the covers and take up almost all the space in the bed.
After Yuri adopted Greta, his would-be child assassin, Wolfram immediately took on the role of her other parent. When Yuri is back on Earth, Wolfram looks after her and Yuri is grateful for it. He's actually more of a father figure to her than Yuri; she calls him "Chichiue Wolfram" (Father Wolfram) while Yuri is just "Yuri." He only protested Wolfram's claim once, maybe twice. Several times you see the three of them sleeping in Yuri's bed together with Greta in the middle. In season 3, there is even more "family" interaction between the three of them. One notable scene is when they bought Greta a pet mini-bearbee and she named him "Yuram" (Yuri+Wolfram). They looked at each other and exclaimed that their daughter was soooo adorable.
I tend to agree with Chayron and Jinjyaa. Yuri would choose Wolfram because he's Wolfram, not because he's a beautiful male. He doesn't show romantic interest in anyone, male or female. In Chayron's KKM series, Yuri is heterosexual and Wolfram is the exception to his heterosexuality while I believe he's "Wolfram-sexual" in Jinjyaa's series.
The KKM manga artist, Matsumoto Temari, has also drawn art for several shounen ai manga, if that makes any difference.
Edit (03/08/11): I recently rewatched season #3 and it hurts my argument a little. It tips the scale in the "bisexual" direction. His interactions with Saralegui, and several of his interactions with Wolfram, are responsible for that. The KKM OVA tips it in the "heterosexual" direction, primarily because of the forbidden magical device episode in which they each dream about what they fear the most (which is supposedly what the other one wants). Wolfram dreamed that Yuri had a female harem while Yuri dreamed that he and Wolfram were married.