Online game, no. Regular games, yes. In Fable 2 I played as a dude because I've seen (and heard) that the women in Fable 2 as you progress in the game, start to resemble shaved bears.
I played as a boy in Pokemon Silver, but you really didn't have much choice in the matter really.
Mass Effect I played as a woman (naturally) but when I get the game again, I might create Hanz Von Shepard, the stereotypical blond-haired, blue eyed evil ass Nazi - I mean Specter.