It's not a conscious thing, but we do identify with these kinds of concepts. You see it a lot in comic books. Superman, Batman, Spider-Man, Wolverine; all of these characters feed into this whole, subconscious "it would be cool if I could do that" mentality. It becomes more pronounced in video games because well, you can do the things that a guy like Commander Shepard does. You are doing those things when you play the games.
I also want to...not really dispute...but question the idea that a lot of folks in this thread are throwing around: that lots of women don't play video games. Where exactly is that idea coming from? Because it seems very much like an outdated stereotype. This is purely anecdotal, so I'm not talking about majorities or anything and I'm not going to say "most" women play, but I will say a lot of women play video games; RPGs and puzzle games in particular. And not just JRPGs or MMOs. Single player WRPGs like Dragon Age are very popular with women because things we generally see in "chick flicks" like relationships and social interactions are integrated into the gameplay. I see a lot of girls and women in video game fandoms; Zelda, Sonic, Final Fantasy, etc. A lot of classic stuff that's been around for decades. Just some food for thought.