I myself play both sides of the fence. I don't have any MMO's to play, but RPG's are usually my thing. Usually I have a few factors in my decision. First of all, the overall look of the characters in general. A lot of times I just don't think people's faces look right, so I'll go with the one that bugs me the least. I also tend to start several files at a time just to keep my ADD happy(I've just recently played all the way through a Bethesda game -Fallout 3- for the first time, never finished the main story on any of the Elder Scrolls) and will choose entirely different characteristics for each.
For example, on Monster Hunter (PS2) I have one male character and two females. Each female character specializes in either the Hand-to-hand, or Ranged weapons. This gives me time and resources to make more items in less time. The male character does both kinds of weapons, because the face I picked is the only one that doesn't look like Sloth had a baby with E.T.
On another PS2 series, Champions of Norrath, I've created a character of every available class, but only have one male character when given the choice. I've actually wondered about the implications before, and mostly I chose females for all the other classes since the armor details looked more interesting than the male counterparts, and I don't mean that just because there's "bewbs" underneath. Believe me, I've created each class and gender just to check them out, and only kept the females. All the guys look like they're dressed in non-matching pajamas. Although I could say a few things about the voices of the characters that I won't get into.
But really there's no prevailing preference for my character creations. They're just foils in my daydream-videogame time. If a writer has a story to tell, it ultimately doesn't matter if the characters are male or female compared to the author's gender, does it? I mean as long as it's still a good story, and doesn't involve a large genetic freak and a fugly alien having kids, right?