I generally make male characters as a sort of in-game me, but there are three reasons I've made female characters in the past.
1) To get a game achievement (I'm looking at you, Dragon Age).
2) To explore everything the story has to offer (I'm looking at you again, Dragon Age). Someone worked hard on the writing, it'd be wrong not to experience all of it.
3) The female avatar options better fit my character concept. For example, when I made an elementalist in Guild Wars I wanted an avatar that fit how I pictured a pyromancer to be: a powerful, arrogant, confident spellcaster. All of the male avatar options either looked like they belonged in a boy band (doesn't fit the powerful, confident qualifications) or they looked like scarred, battle-hardened individuals (doesn't fit the spellcaster qualification because no self-respecting pyromancer lets the enemy get close enough to give him scars).