Funnily enough had a conversation similar to this the other day.
The only real place this becomes a question/issue for me is WoW; as any other game I play the gender isn't the subject, it's the skills/abilities they bring to the table. Anyway, that aside.. My WoW characters are almost all female. Few simple reasons...
A) I play Alliance side. Alliance males look AWFUL. I made the dreadful mistake of making a male draenei mage. Not sure what the hell I was thinking, but it's there.
Fantasy games tend to make male figures completely disproportionate. Male humans for example look like they've got trucks attached to their torso instead of arms. Why?
C) Facial expression/options. I know, I know. It's not all that often you see the front-side of your character, but I used to have a male night-elf druid, and I got so sick of every facial option looking like the guy had a large invasive object lodged in his ass.