When the option exists, I used to always play as a male (as I am one). No other reason than to further the role playing experience.
Since my daughter was born though, I've switched to choosing females instead. My daughter was watching me play some game (can't remember what one) and was asking about the main character and bad guys, etc - it was a game completely filled with guys, and no girls present. Since then I wanted to make sure I played as a girl if I could - if she sees me playing she'll ask me questions about what's going on, and who's good/bad. I like that she'll know there's at least one girl in the game and that they're the "hero."