I usually play the good first. Again, this is generally because games where there is only good and only evil seem to pigeonhole the "Selfish-but-forward-thinking-asshole" into the Good category. Honestly I like games like KOTOR 1 and 2 more, because they let you have a lot of gray area, which makes for more diverse characterization. I don't really feel connected to the character if the only two choices are things I don't really want to do. Or if they read into my actions too much; I played Bioshock and chose the good route because I liked the rewards more.
Can't we have a bit more choice? I loved KOTOR, Fallout 2, and Planescape: Torment for having a variety of choices, particularly the second two because you weren't rewarded in the game for being either evil or good (though it did change character reactions a lot, which was fantastic). Unless you killed a kid in Fallout 2. Then you got your head handed to you.
Still, if I like the game enough, I'll play through it multiple times with different choices. I played both good, evil, and neutral in all of the above titles, in addition to other variations in character not related to morality for Fallout 2 and Planescape.