That's how I tend to do it, at least for my first play though. I like to feel as though I'm in the game, that's really what I've wanted ever since I've been a kid: to be in my won video game, and character creation options let me do just that. I just love the feeling when I see myself in the game, and I try to make my characters act like I really would (more stealthy to try and avoid confrontation, pick the morally "good" options) rather than just go for whatever makes me more powerful. Maybe I'm an egomaniac to like to see myself in my games, but that's just how I am, I like to experience things as me rather than someone else.
That being said in more open games like Skyrim or Oblivion I might still roleplay my "me" character a bit by coming up with interesting back stories whenever the game doesn't provide one.
Of course on later playthoughs I usually create a character different than my own to try and experience things from a different perspective and play in different ways which is always interesting too, but I'll always have a preference for my "me" characters.