That's transvestism, which is an entirely different thing from transsexuality. From what my college textbooks said, male transvestites see themselves as male and are usually heterosexual. Their interest in wearing women's clothing is more about social roles than sexuality. They're often men who were raised with very rigid gendered standards of behavior, the idea that men had to be tightly controlled and unemotional and aloof and that only women were free to be vulnerable and emotionally open -- so adopting a female persona and social role gives them a freedom they don't feel they can have in a male role, even though they still consider themselves fundamentally male. It's about outward performance and social presentation, rather than innermost identity.
I'm not sure there have been a lot of transvestite protagonists in popular series fiction. I don't count Klinger from
M*A*S*H because he wasn't wearing dresses as self-expression, he was doing it as a con to make the military give him an insanity discharge (the unfortunate standards of another time, both the 1950s setting and the 1970s reality). But Shaenon T. Garrity's webcomic
Skin Horse features a transvestite character named Tip, who loves wearing dresses and is an absolute fashion plate but is also intensely and promiscuously heterosexual and irresistible to women. He does eventually end up being seduced by the universe's other irresistible male but decidedly gay character, Artie (an import from Garrity's previous strip
Narbonic), but it's a novel experience for him. Oh, and there was Drew's brother on
The Drew Carey Show, who was this macho blue-collar guy who just liked wearing women's clothes.
Then again, what constitutes being "transvestite" is a matter of opinion. Sixty years ago, a woman wearing a t-shirt and blue jeans would've been considered a transvestite; now it's considered perfectly acceptable women's clothing. Maybe in a hundred years, it'll be seen as perfectly ordinary for a man to wear a dress.