I generally play as a female (male here), aside from the fact that i like looking at girls, it allows me to express different mood sets and play styles from what i usually do.
In the grand scheme of things it really depends on what type of game i'm playing, If something like COD had an option that would make a female character, i would, because more than likely she would be smaller in both height and frame, making you harder to see and hit. In Fighting games i chose female characters because 9/10 times they are more about speed, finesse, and precision, not about beating your opponent with brute force ( Hitomi of DOA and Cassandra of Soul Cal are exceptions, they both hit really hard.)
But more than anything else i find female characters to be pleasing to both watch and listen too, it is a lot easier to sit and listen to some very attractive girl ramble on about a plot you really could care less about than to suffer through the same speech from some gruff dude.