Usually games with a story driven narrative like Dragons Age, Saint's Row, Mass Effect, etc. I do tend to roll a female character, something about playing as a woman going through an adventure, having the same trials and hardships as a man but visualizing it seen through her perspective is kinda awesome, plus I usually play as a lesbian black woman if possible for, y'know, diversity.
Games like Skyrim, Diablo, and WoW are kind of a mixed bag of what "feels" right, this is usually when being a male is a possibility, although I do kind of find it pretty boring because even though I am a man I don't like playing other male characters if I can help it.