In vidya, yes - for reasons varying from the ol' "which would you prefer to look at for 50 hours of gameplay?" to better voice acting (or so said PC Gamer UK for FemShep, dunno if the male equivalent was bad but godsdamn if Jennifer Hale didn't nail it), to adding variety 'cuz I'm tired of playing the same old meat-head Spess Mehren for the sixty-third time. Bizarrely, I chose a female character for my main in Planetside 2 because I can hear her alto voice better over the sounds of combat, giving slightly improved feedback when injured. Honestly, I think my vidya characters' genders are about equally-balanced in number, but I tend to play the females more because they're usually the second character I roll, after I've discovered how to play the game and, more importantly, how to distribute attributes & skills to best advantage. That said, I tend to avoid playing strength-based female characters, 'cuz it generally looks kinda ridiculous for the skinny, anorexic little slip of a girl (as they usually are, whether you like it or not) to be using a sword twice as big as she is to carve up mobs twice as big as the aforementioned sword. I hear this isn't so bad in Fable 3 where a strength-based character will look muscular regardless of gender - some people got hella butthurt about this but I was quite impressed.
In tabletop games (eg D&D) I don't, and I'd suggest avoiding it if possible. I'm fortunate enough to have a very gender-balanced group, but in one campaign we had a female player who rolled a male character, and everyone kept mixing up pronouns when referring to them - particularly awkward when speaking in character. Also, I think that playing an utterly obsessed, nymphomaniacal man-whore was a bit of a mistake for a player of opposite gender. It sometimes got a lil' bit awkward, and occasionally bordered on offensive, but no-one really wanted to say anything because it was her character and it was a defining feature of his personality (I usually prefer not to critisise another players character choices, but I have (relative) internet anonymity here therefore I'll say it so others can learn from it). The irony is that, from what I understand, the exact opposite is the stereotype - a male player with little comprehension of female gender roles playing a slutty elf or whatever.