I male, but if I can choose my character's sex, then:
- Generic games without much character involvement (ex, MMO's, Pokemon, Torchlight etc): always female, always the same name. Rare exceptions like Skyrim where females have a weird animation and don't make much sense in a ton of armor. However I don't really like that in FPS games such as Mirror's Edge or Portal, where I can't actually see my character.
- Games with a ton of character development, but without any sexual choices: I'd say 50-50. Depends on the game. Depends who looks better.
- Games with sexual or romantic encounters, by choice: I prefer to play male, for obvious reasons (I'm as straight as a laser beam). One single exception would be Mass Effect, where my female Shepard was so damn beautiful I had to turn her into a proper biatch to the drooling guys around me. Couldn't even be a proper lesbian. Sometimes I really envy bisexuals.
If I can't choose the character's sex, then I'd probably have a real problem playing as a female through sex scenes, or having a kissy kissy character in it. Bayonetta felt strange to me for that exact reason. Duke Nukem? not so much. So I get the point... But sex is usually rare in games, and I'd rather is stayed that way.