My brother and I play both male and female characters. For us, it doesn't matter. Variety is fun.
Some of our friends feel the same way. A few of our friends don't like playing female characters because they like to imagine themselves as the character going to save the day. It was more fun for them. A few of them always make themselves in character creator. Another's favorite type of game are FPS and he loves feeling like a badass. They can't project themselves onto female characters, so they are just playing a game instead of saving the world, thus making it less fun. I think the only times we did that was Double Dragon 2, Super Mario Bros 3, and Contra. We had issues too when we were little kids. I think the first female I played was Princess Peach in Mario 2. It was a rental and we want to go as far as we can before returning it, and she was the easiest. After that, it doesn't matter anymore. Mostly we see it as, we are not our characters, but playing through our characters' stories, like reading a book or watching a movie. In a way, the heroes and us gamers both save the day.
Choosing a male or female can be random or for a reason. We generally pick which character if we think they look cool, or the most fun to play. Spending hours on a game, it's best enjoy it and like the character you are playing, wheter it's play style, aesthetics, or character personality. Like Gauntlet for the NES, we both pick the elves because they were the most fun. The others are too slow for us to enjoy. Another version was much faster, so we picked Warrior and Valkyrie because they were more fun. Brawl Brothers (SNES) we were the main guy and the ninja, because the other guys were slow for us and the girl's special attack wasn't as useful. Some of our friends like playing big tough guys. In Ghost Recon (Xbox) in split screen mode, we couldn't tell which squad was talking. Who's under attack or attacking? Finally, we made one of our squad ful of guys and the other full of girls, so we can which squad is doing whatever. In fighting games like Street Fighter, we try to play a lot of characters, to know their strengths and weaknesses. In Borderlands, I like Mordecai because of Bloodwing, and Borderlands 2, I play Axton. In World of Warcraft, we were on a PVP server to play with our friends. We made our guys look like twins in looks and similar names to hopefully confuse our player enemies. Well it confused our friends too. Waiting for a tank and healer for instances suck. We made a tank and healer next, without similar names, and the healer female to avoid confusion. Sometimes are reasons are kind of funny, like in D&D arcade, we picked Fighter and Elf because we like swords.