
Right now, I'm playing Dragon Age: Origins for the third time, the second time with a female character. My current character is the city elf rogue/assassin Caillin. Her background will let me explore some choices that it would've been bad roleplaying if chosen by my other characters (human nobles). Caillin will side with prince Bhelen in Ozrammar, and will have even less problems with going after humans in her quest for vengeance (a bit of Kill Bill, her being a bereft bride and all).
In Deus Ex: Human Revolution I opted for a stealth/hacker style of play, mostly because I like the option to avoid killing common grunts and guards who just eke out a living. I like it when games offer something more than run-and-gun gameplay.
As for MMORPGs like WoW, I avoid them because it would mess up what little I have left of spare time, but a male friend who played a female character made some interesting observations. Other players tended to ignore "her" suggestions when it came to plan a dungeon raid, while others hit on "her". Little did they know that she was played by a 40ish guy who looked anything but an attractive girl. He told me that playing her gave him a rather rude awakening when it came to sexist attitudes among gamers. But maybe some of the attraction of playing female characters lies there: playing someone who has to fight not only orcs and barbarians, but also their real-world counterparts...
OK, I see that I've covered several subjects, but let's keep the thread on the subject of your character preferences and observations you've made.