I had a bit of a debate with one of my RPG friends a while back.
Eight of the nine D&D characters that I've built are female, and the current Shadowrun character I run is a female. During one D&D session, he told me he thought it was weird that I kept building and running female characters mostly because he had to picture me in his head as a woman, be it a half-drow or dragonborn. Something about it creeped him out, but I see it only as building a character that is "different."
Nobody else in the group, including the GM, ever thought this was weird. He was the only one to say anything. He's had his characters make suggestive comments to mine and I never thought it was odd, but he said he'd prefer that I build male characters so he doesn't feel awkward.
I'd like to point out that these characters are never roleplayed as looking for romance. They aren't some innocent helplessly trapped in a moral dilemma or a damsel in distress. Usually they're a headstrong, self-sustaining fighter-type. My Shadowrun character, for example, is a psychopathic gunslinger based on the character of Revy from Black Lagoon. The only way to date her is to buy her a missile launcher.
I thought I'd make a topic about this, as I'm sure it's quite common. My mom made a point of that when she noticed that my Mass Effect, Fallout 3, and Oblivion characters were female and when she asked me why, I couldn't give her a straight answer. I think now I can say I play female characters just to be different. You don't usually expect an adventure to have a female protagonist, so given the choice I side with the ladies. It can really change a game.
And hey, when we have an image in our heads or on the screen it's usually something we want to look at.