More often male than female, though it depends on the game, and I have no idea why I pick certain genders for certain games.
The Baldur's Gate games, I played a male (and also customized the character with recordings of myself doing a bad Ah-nuld impersonation for the various sound triggers).
The Neverwinter Nights games I always played female characters (with a bunch of custom models. Okay, I'll admit, a couple of the characters I made were a bit underdressed, particularly the barbarian in NWN2, who was in total Red Sonja chainmail bikini mode, but hey, it's tradition!)
Oblivion I played a male (custom race, FaceGen-customized face blending photos of Viggo Mortensen and Christian Bale.) Of course, TES games are one of the very few out there that actually have stat differences for males vs females, so there's a bit of justification there.
Any given fighting game...2D or 3D...I will always gravitate towards learning the female characters (assuming there are any) first. Have no idea why.