(Err... wow, sorry about the wall of text... I think a lot about this particular subject, and when I get excited about what I'm writing about... well, this happens. It's why my post count is so low... see? rambling again. point is... if you don't want to read this, this is your chance to ignore me lol)
A better way to approach this topic would be "Playing an RPG, and playing as the opposite gender." This way you would sound more sensitive to those that might be offended by the implied sexism of a primarily male demographic.
On Topic:
There are several reasons that a person will create the opposite gender in an RPG, although they can generally be broken into two sub groups: Sexuality or Immersion.
Sexuality: Some people play as the opposite gender for the purpose of sexual gratification. One friend of mine, for example, has a tendency to give his characters (video game or table-top) specific female roles that he himself finds attractive in women. In this case, he has the power of control over the girl of his dreams. He can create the "Perfect Woman" for himself, and then he may decide for her her every action. Doing this creates a bond with the character, and he can imagine himself actually being with this perfect girl. Of course, a more basic situation is the sexually charged player who wants to constantly gawk at the opposite gender as they, say, climb a ladder, or jump up and down in victory. This version involves less of a feeling of immersion then the latter, and is usually employed by players who look for game play over story.
Some people create female characters in order to BECOME female characters. Similar to the way some men might dress as a woman in real life, such a player might create a female character in order to get more in touch with their female side; unlike real life, however, there is little scrutiny in the world of a game. If you appear female, then other players and NPC's will, generally, accept you as female. In the extreme, one such player may even enjoy the sexual reactions gleams from pc and npc alike, although few of the homosexual gamers I know would create a character for this reason, generally being quite comfortable in their own sexuality and gender.
Finally, some people may use their perceived gender as a methood for gaining the upper hand, like what used to happen in Everquest. However... success is very limited due to the fact that "female" characters are at least as common in most online games. I personally have been in two separate situations while playing World of Warcraft as a female character where male avatars have literally paid me to strip dance. (Not that I ever intentionally saught this kind of thing out, it really doesn't often occur to me anyway

)
On the other hand, some people create female characters with absolutely zero sexual motivation at all. This type of player is usually interested in role playing as their character, or at least in imagining their character in the various in game situations. I, for one, will often spend hours thinking of a character concept before actually creating one, and often times, the concept will call for a female character to work. There will be no sexual counter part to this process for me (being homosexual, I usually use my own gender for THAT purpose

). The same way a talented author will create a protagonist of the opposite gender, a certain character would simply... fit better as a female.
One such character I created (well, technically I co-created her) is called Larissa, a beautiful and talented mage whose ambition will often lead her into... questionable situations. Larissa is not overly fond of dark magics, such as necromancy or demonology, except in so far as they can be used as tools for her own designs; as such, she will not shy away from particularly grey situations. She is self-serving first, and all other motivations come second.
I have recreated Larissa many many times for many different games, from WoW, to DA:O, to Rock Band, and I do so not because I am attracted to her (in fact, she is, in every plausible way, the exact opposite of what I find attractive), but because she is awesome. (my description probably made her sound a bit generic bad-girlish, but meh [stupid Morrigen, stealing my character concept])