Yeppers! I've done both male and female costumes:
Here's my Chrono (from Chrono Trigger) cosplay (the hair didn't turn out as spiky as I wanted it, and I also look kinda freaky here but it's the only photo of myself that I could find on FB):
http://www.facebook.com/photo.php?fbid=10100272279097353&set=t.689055829&type=1&theater
Here's my EMily costume who is an original character of mine:
Funny thing was, was that a lot more people took pictures of me in a dress than as Chrono. And most of them were girls, which sends a peculiar message to me about the collective personalities of con-goers.
I also did a Kyon cosplay from TMoHS which turned out okay but it wasn't as successful as the Chrono one. I did get called a man-slave from the Haruhi cosplayer that was there. XD Fun times.
Another one I did was Satoko from Higurashi which had the same turnout of photos as EMily. I liked it a lot :3
Really as long as there's not so much skin revealed or my hips being accentuated I'm cool with cosplaying as a female character.