I usually go through my first playthrough as "myself", thus a male human. But I love making alts, tons of them, and sometimes they're predominantly female (Better looking avatars in general. In my opinion, at least

).
However, I went though the Character Creation for Skyrim recently (Trying it out on my brother's PC, I'll be getting the game for myself on PS3 when it's cheaper), and I actually liked the female Orc I made much better than the Male NOrd and Orc character I made. So I'm going with that for my first playthrough.
(I doubt I'll make any alts for Skyrim though. Skyrim seems like an endless project, and with little replay interest for me, as the story seems to be the last point of interest, with little possibility of change between playtroughs)