I usually play a female, simply because there are too many male protaganists in todays video games.
Apart from that, I like to make the character think like me. I really loved my Femshep in Mass Effect 1 because I made decision like I would make. I had a problem with Mass Effect 2, since I needed to be Paragon or Renegade to do some sidequests, so I went Paragon on everything. I might play through that properly sometime. Before ME3 at least.
I personally feel that most single player RPGs are very limited, in that I can be a warrior and only a warrior, and I have to go here and do this, which really takes me out of the story when I want to play a character (rather than having a character play me. See every characterised non-rpg)
So when I roleplay a character, ill play an MMO. I can go where I want, kill what I want, and If I want to play as a goldsmith or a baker, I can.