For me it has nothing to do with the often said 'If I'm going to stare at a character's ass for hours on end, it might as well be one I enjoy looking at' but everything to do with experiencing the game differently.
In most wprg (Kotor 1 & 2, Fallout 1 & 2 & 3, Mass Effect 1 & 2, Fable 1 & 2, etc) I usually play once as a Male 'good guy' (paragon, light side, whatever) and than my second playthrough will be a female 'evil girl' (renegade, dark side, whatevcer). This allow me to experience more of the game.
Since I'm a guy and I like to think I usually do the right thing, the first game usually represent 'me', while the second is the 'anti-me'... than again, maybe I have some screwd up mental issue about woman being evil 0_o.
In game where you're allowed to pick a gender but your gender has no effect on gameplay/story what-so-ever (such as World of Warcraft), I usually play male characters, very rarely females.