Well, back in my teens, when first introduced to the NES, being a boy in body, though somehow a confused girl in mind though not yet understanding why, I always enjoyed picking and using female characters, didn't know why at the time, but do now when I reflect back on those fond memories (all my gaming memories are good ones

) I know that it was because subconciously I was playing the role that I felt closer to in gender. It didn't really matter than a character was male or female really, afterall if a game is good its fun regardless, but if given a choice of multiple characters to chose from, I never hesitated to chose to play as the female character first, and usually for the most part whenever I replayed that game (such as Super Mario Bros 2), and if the only character in the game was female (as in the case of Metroid or The Guardian Legend) I was in my comfort zone completely, I wasn't the hero of the story this time, or in some cases when I pretended I was the princess or other damsel in distress that the hero had to rescue (if he succeeded then I was saved, if not then the bad guys had their ways with me), I got to be the girl, and one that could kick butt at that too.
In Super Mario Bros 2, who'd I use, the Princess, not just a damsel in distress anymore (my brother, as with most other boys tended to always pick any of the other three, only going for the Princess once they realized her coolness with her awesome hovering capabilities), and actually when Super Mario Bros 3 came out, I was for a time very upset with the change of gameplay back to the original formula and not being able to use the Princess anymore, that they reduced her to captive again (of coarse many years later I learn that SMB2 wasn't really a Mario game to begin with, but that's something else altogether). I remember how giddy I was when my suspicions of Samus in Metroid being female (based on her artwork), and not a guy or robot like my brother thought, were correct when it was revealed at the end of the game, I was so psyched, no guy could stand a chance against this girl, I loved it! The Guardian Legend, not only attracted me to buy it because it looked like a cool game, but also because again, usable female character, heroine of the story, and probably one of the most powerful NES characters at that. Castlevania III, for a while there Syfa was my favorite partner to take along (though once I got over being her just because she's a girl, Grant proved to be more fun to use). Obviously first fighter choice in Street Fighter II, Chun Li, used her for the longest time before trying out any of the male fighters (though Ken is my favorite). I guess that once I got over the whole I wanna be the girl character thing for whatever game it be that I was playing, if there were other choices I tended to move on to those that were to most comfortable to use gameplay wise, regardless of their gender.
I suppose I'm not as crazy about this kind of thing as I was when I was going through my gender identity crisis in my earlier years, my thing is now, I know who I am, also, I don't go overboard in using the imagination that I had during my teens to act out or become the character in the game, I just play 'em now, mostly just to beat them, or rebeat them better, I guess my gaming fun is more competitive now that I don't take the time to immerse myself within their worlds and characters, also, I think once I got on hormones and started feeling more feminine I don't think I needed to have to relate to that side of me through video game characters anymore.