Honestly, I play female characters primarily, though I am a man. That said, I play them for a couple reasons.
1: T&A. Yeah, female characters in games, in my opinion, generally receive the better treatment by the art department. If I am going to spend hours playing a character, I'd rather it be one I can enjoy watching.
2: Voice acting. A good number of times, like in Mass Effect (1 and 2, so far), the Male character has a rather bland and generic voice, where as the female counterpart has a better quality of voice-work entirely.
3: Attachment. I have a hard time getting attached to a male character of a game sometimes, and when attachment and involvement are one of the primary reasons I get sucked into a game, that becomes key. When something happens to a male character of mine, I just kind of roll with it. If it's a female character that something happens to, and it's well done, I feel legit emotion for the character.