In City of Heroes, I tend to run female super-heroes (or -villains). For one thing, I just find female characters more interesting — perhaps because, in literature, they are less often starting from a place of power. For another, the CoH graphics engine has women running much more attractively than men.
It’s not exclusively so, and there are no specific game advantages one way or the other, but it’s something I do. #ddtb
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For They Are Weary of Space Marines: Why Some Men Are Playing Women, and Why Game Developers Should Take Note
I spend a staggering amount of time thinking about video games. I’m constantly chewing on the reasons for the character choices we make and how people are represented within games. I’ve spent a lot br…

I have tried a few female characters, and I find that I have no preference. Of course, my first character in any MMO is generally my Mary Sue, so I have to go with male for that one (that sounds counterintuitive). For some reason, all ten of my LotRO characters are male. Make of that what you will.
Male Mary Sues are called such variations as Gary Stu, Larry Stu, Marty Stu, Murray Sue, Mary Joe, or Marty Sam, etc. See http://tvtropes.org/pmwiki/pmwiki.php/Main/MartyStu
I did not know that!