Play the DM over a game of D&D: You get to be both, sometimes have a conversation with yourself, and no-one thinks you are crazy. And yes, I did once roleplay (as DM) a man and a woman talking to each other, as well as the party.
But online, I tend to stick with males (I'm male). Mostly because it means less socialization is expected. The only problem is the games that have people playing sluts/whores/whatever, who think that they can use their being female and your being male to get some money from you.
Only one person can do that to me, and that's my brother (yes, he plays female characters: gives him an edge when he's bargaining, which he does a lot anyways).