Except for one time in The Sims, I don't think I've ever even considered it. I don't think it'd add to the immersion at all, I'M not there, my character is though, and it doesn't matter how my character looks, as long as it looks like my character
Yes, I'm one of those creepy roleplaying types, I'm also even more creepy for being a transsexual roleplay, at least if you're like Grimm, because that means I almost always make characters of the opposite physical sex. I do however enjoy roleplaying as characters of both genders, so I make a few male characters. And just to nitpick, making a female character if you're a guy doesn't make you gay. First off, it would (if anything, I think you could enjoy playing Tomb Raider, if you just got a bit more perspective on yourself) be a clear sign of transsexuality (if anything, I don't believe it has meaning). If it'd make you "gay" depends solely on your actions in-game. If you play a female character so that you can hit on the boys ingame, that might be a sign, but then again, most games are geared towards a male audience playing male characters, so in almost all games all female npcs are suddenly lesbians when you are. Hitting on those would either make you a homosexual transgendered male, which I guess is gay, or a very normal straight guy with a fetish for lesbians.
Then of course there's the "who's ass would I rather look at during play" argument, but people have brought that up already.
Damn... Why are my posts always so long?