I play Male characters when I'm in an MMO - for my main character. This is what everyone gets to know me as, and everyone refers to me by this toon.
Alts are free and open games for female characters.
Single player games, i usually always play females. Why? I prefer looking at something pretty than looking at a male toon for hours and hours of playtime.
(eg. I usually have Tifa and Yuffie in ff7, Terra/Celes in ff6, Rena in so2:2nd, amazon/sorc in d2)
I also usually have set names for most of my characters. Main is always a variant of Melchior (Melichor). Alts usually go the Gandalaran route (Rikardon, Tarani) or the D'Arnath path (Seriana).
Except on steam MMO games, and messageboards. Then it's simply JadeAuto, all the way.