I've pretty much always played female characters, given the choice. This started with Pokemon Crystal, which was the first one to offer gender choice. As soon as Prof. Oak said "Are you a boy, or a girl?" I hit girl. And because I'm super original, I named her Kristal. Kristal looked super cool, tough and hardcore. She let me know that girls didn't have to be pink and frilly, they could be BADASS! (No offense to pink and frilly girls)
Later on I played Diablo II, and I played as the Assassin, a female only character. (Not that that would dissuade me.) I named her Kris, in honor of the coolest girl ever. Kris the Assassin basically codified the character of Kris for me, and in every game I played since then, the first character I create is always her. I've been playing Kris for over a decade now, and she's been in more alternate universes than Spiderman.
This came to a head in Mass Effect, where Renegade Fem!Shep became the true voice of Kris, and by extension, myself. She's the kind of woman I want to be. I wish I could get her voice down, but alas, even my considerable vocal talents cannot replicate that beautiful tone. Oh Jennifer Hale, why do you mock me so?
In games with no choice, I don't really care who I play as. Cole McGrath? Sure, whatever. Prince of Persia? Yeah, he's pretty cool. Mario? I'd rather play as Luigi, myself. But you give me a choice between "M" and "F", and I'll pick "F" every time.