Hmm, I started out by stealing my little sister's account on iRO and ever since have been using a female character on any game I play as my main. I think it primarily started out as a PSO (Phantasy Star Online) thing where female characters were more geared toward being better rounded characters with the ability to use higher level magics and whatnot with better stats for a soloing character.
As for games where it doesn't really matter, I'm so used to seeing a female sprite that it seems odd when there isn't one on the screen... teamed with the fact that I really don't like the attack animations for the majority of the male sprites in almost all games. They all seem pretty bulky and lacking in fluidity. That's the curse of being lithe, almost anything a normally built person does looks clumsy.
Well, anywho... I don't really care who plays what, so long as they don't try to convince you they are not what they truly are. If someone prefers to have an aesthetically pleasing form on the screen 100% of the time instead of one they find not as attractive, that's their thing; I haven't been able to find a real reason to chastise people for it.
Those are my thoughts on it.