I always play female characters, 100% of the time, any time I have a choice. Even in Borderlands, like, I remember picking the Soldier class initially. I gave it two playthroughs, but once I didn't need to concentrate as much on the gameplay, I switched over to Lilith. Her playstyle is much more fun, you actually get a 'feel' for the size and sex of your character in that game, I just plain enjoyed Lilith a lot more. Also, she's not nearly as campy or anything as Roland is. Now, if your character's sex impacts your playstyle like in Borderlands, or if I just don't get a choice like in most action games like Devil May Cry, I absolutely need the gameplay to be so complex and involving that I don't even think about it. I can stand to play as characters like Dante, Raiden, Samuel, or like, Death in Darksiders 2, because I'm so focused on the combat, and then focused on 'what secret will I go for next?' If it's an MMO or something a lot less involving, I just can't do that. I don't feel like it's legitimate discomfort most of the time, I just lose interest a lot more quickly.
I also play Pathfinder from time to time. It's a pen-and-paper game where ultimately the sex of your character doesn't matter. I STILL always play female characters, and my GM was a bit confused by that. He told me something like, I should play a male character next. I don't remember telling him that it was unlikely I would ever role-play a male character... but I did have some initial plans for my next character to be male. Threw those out when I found the perfect name for her.
If anybody asks about it, which people usually don't, I usually just use the 'eye candy' excuse as untrue as it is. It usually gets people to not talk about it. Well, unless you happen to be playing a game without graphics like Pathfinder.
