Generally a woman. Depends for different games, but usually because a) if I'm going to be playing as an adventurer/gangster/space marine/ etc. and staring at their backside for the entirety of the game, I'd rather have it be a backside I wouldn't mind staring at.
It also comes down to different factors. For instance, in Mass Effect, I found Jennifer Hale's voice work to be an incredibly strong performance, especially in comparison to whoever does male Shephard (he still did a good job, Hale's was just THAT great).