Depends on the game for me.
For tabletop games (and the one LARP I've ever done, still ongoing), I've always rolled male and for world of Darkness, I always make someone who is either literally me, or someone similar, since part of the appeal of WoD is that it's the world we know, broken down into all sorts of horrors beneath the surface.
The only future "kinda" exception is if I ever have the opportunity to be a player in a particular World of Darkness fan-mod called Princess the Hopeful, which is essentially "What if there were Magical girls/guys in the World of Darkness, with all the "oh crap this world is SCREWED" that the setting implies, but give you juuust enough tools to have a desperate drawn out war to keep it going. It hits a lot of the same themes as Changeling the Dreaming, only you actually have a chance to delay or prevent the end of the world instead of it being inevitable. I'd still play a guy based on me, but I'd totally be down for my transformed self being female (probably based on a Valkyrie). Seems like it would have a LOT of fun role play potential.
Seriously, though, the fan mod sounds AWESOME. Like, just check out the TVtropes page for it, it's packed with awesome stuff! http://tvtropes.org/pmwiki/pmwiki.php/TabletopGame/PrincessTheHopeful
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For video games where there is a choice, or a character creator, it's a mix. I usually play a guy, but once in a while I'll play a woman, especially on second runs.
Like, I've played Skyrim 3 times now (My third character isn't done, I keep coming back to her), and only my first character was a guy (goofy brain damaged kahjiit thief), and the other two have been women.
And I actually role play them out, and decide what they do and where they go based on what I think makes sense for them to do.
Now, the only thing is that both of the women I made turned out to be lesbians, or at least Bi. I'm not sure if this is just how the characters are, or if my straight-male-cis bias is showing. XD
Like, the first woman I made was a former Thalmor High Elf who was dancing on the edge of being truly evil the whole game, after failing to be redeemed by Mara (The Live another Life mod that gives you more starting place options has Mara ask you where you want to start) and deciding that "love is for idiots" eventually fell for a character in a Dark Brotherhood Extension mod and had to use her latent feelings for her to save her from something, and her story ended after getting married to her and finishing the last epic (and incredibly hard) quest in that mod. It just worked for her. She basically had a hold over most of skyrim in some way and finally accomplished the task she had been saved in order to do. Save someone only she could save.
And the current one is a Kahjiit woman who I spent the first few hours avoiding heroism with. I played her as "just a miner", trying to get by with minimal violence and conflict, before things kept escalating and I started the main quest and she finally had to become the badass 2-handed Hammer champion she is now. I was on the lookout for whoever might hook up with her and for a while I considered Farkas, but he's actually kinda boring. Then she kinda started falling for one of the Interesting NPC mod characters, Amun-La the swamp knight (a dry and sarcastic Argonian woman who hides her past pains under dry humor and unrelenting heroism), and then for a bit she was interested in another modded NPC Rumarin (an elf mage who is REALLY damn funny). For a while I was torn between which one was best for her, and last I left off, it was decidedly tilted in favor of Amun-La. Rumarin is fun to be around, but he refuses to talk about any difficult subjects, and isn't really that heroic. Compare to Amun-La, who openly talks about her past pains despite how tragic it is, and who will jump at the chance to help you, no matter how suicidal it is.
Anyway, all this to say that it's a mix for me. I might generally prefer playin guys, but I'm totally cool with role-playing women too.