It depends on the game. If it makes no difference with the exception of a half-assed voice actor like Halo Reach, I usually stick with Male simply because it's a default. With the Fallout games, I pick Female because the Black Widow perk has some awesome conversation lines, and there are more male enemies than female enemies. TES games...it never really mattered to me. Gender make hardly any difference. Mass Effect....I chose FemShep simply because I was tired of the male space marine figure in military sci-fi games, and I wanted to change things up a notch. When I romanced Garrus in ME2...that was possibly the best character relationship I've ever seen since it was so utterly different to the norm. Female lead with completely alien looking male...it's not done enough.
Really, it comes down to whether the gender affects anything in the game with the exception of people saying he or she in conversations.
Really, it comes down to whether the gender affects anything in the game with the exception of people saying he or she in conversations.