I put Catholic, though I'm really Episcopalian. The Episcopalians I know usually identify as Catholics (in the sense that Catholic means Universal). Also, most Protestants I know (like the rest of my family) abhor some Catholic devotions that I like very much, like the rosary.
Despite being transgender (or whatever I am--I identified as a crossdresser for a while) I don't feel odd about calling myself a Christian. I haven't come out at church or anything, as I'm still feeling out my gender identity (and will be starting to see a therapist somewhat soon, I hope) Despite the confusion about who I am, and though I may not understand everything, I like to remember what Job said, "Though He slay me, yet will I trust in Him." I believe that everything will work itself out in time.
There's much more I could say about this topic, but I'll keep this one short.