I tend to play a male as my self insertion stupidity on first playthrough. Since that is where I do the most screwing up, perhaps I am saying something negative about myself... Over and over and over and over again...
*sigh* That's depressing.
*cough* Anyway, I tend to make a female for the second and thus more intelligent seeming playthrough because, A. I want to see a chic's ass since I spent the last eighty hours looking at a dude's and B. my wife sucks at games but loves customizing and dressing up female characters. So I do it for both of us and we enjoy the experience.
Also, she does any face work for male characters I do too. It's something she is good at and I like the results.
Third character is a toss up depending on what is available for play. Oddly enough, I didn't play a woman for Oblivion but my wife made a character who was quite lovely but she didn't get too far into it before getting bored or frustrated or whatever, I forget, it was years ago.
EDIT: Further note, my female characters tend to be more sexually promiscuous than my male characters. I blame my wife's influence. In Dragon Age Origins, Lynn the Elven Mage dallied with Leliana before settling on Alistair but had to give him up for the good of the kingdom. She then found her true love in healing Zevran's broken heart and inability to commit. Yes, that is how my wife wanted things done. She wanted to fuck every fuckable character and then end up with Zevran as he is her favorite.
She said he reminded her of me. I don't know how to take that.