I actually have tended to choose female characters in games.
Most movies, most games all have male protagonists. It gets a bit old. You rarely have a game where you're forced to be a woman, particularly as the protagonist of an RPG.
I'm also often attracted to games set in a different culture. A good example is Sleeping Dogs. The best GTA-style game I've played.
And to be honest, a female character is nicer to look at.
I'll add though that when there are romance options, it often still feels weird if I try to make the character hit on men, so the characters tend to end up being lesbians when I have a say in it.
