I know that for me when I first started getting into RPG games, I really threw all caution to the wind when it came to skills and stats. All I cared about was that I got to play a chick, interest in actually making a correct build came later, but even then I like how current RPGs are relaxing and simplifying builds. Growing up, every time I saw a game that let me play as a woman, it was an instant favorite of mine. Example: Tomb Raider, Soul Calibur, Oni.
I remember when they were advertising Fable III, I was freaked out because they advertised that dude so much, I thought they cut the female option out. Finally one of the devs in a interview said you could still pick female. Turned out the game sucked anyways, but yeah.
I almost didn't get the first Mass Effect because when I was looking over the E3 stuff back when it was first announced, I thought Bioware wasn't going to put in a female option. I nearly stopped looking into it, even when my boyfriend back then said there was no way they'd cut that out, until the image of N7 armor on a masked woman started circulating the web.
I do find it harder to get into games where I am restricted to a male lead. Assassins Creed comes to mind, I've heard such good things about the story and gameplay and I'm a fan of the history it explores, but I just couldn't get into it and lost interest quick. Deus Ex: Human Revolution too, but part of that can be blamed on the fact first person gives me major headaches. I've been encouraged by friends to check out the Witcher 2 also, the ultimate PC edition is on sale now at my local store for a really great price but I'm thinking, I want to play a chick. I tried doing a canon run of KOTOR1 and KOTOR2 once, playing KOTOR1 as male Revan. I didn't even get out of the apartment building on Taris. The character doesn't even have a voice there, 90% of the dialogue is the same, but I just lost interest.
It hasn't been entirely impossible, I have played games with male leads: Mario, Zelda, Chrono Trigger, Battlefield Bad Company(didn't have enough interest in picking up the second one though), and on Mass Effect 3 multiplayer I've had no problem doing the male characters. Usually they are the alien classes though. Not sure if that makes a difference or not.
And I can say, not all games with female leads or the option to, draw me in. Bayonetta and Lollipop Chainsaw's gameplay just wasn't my style. Dungeon Siege 3's voice acting really put me off, Skyrim and Dark Souls I haven't touched since the month they came out but that could all be a fault of, I'm more of a sci-fi geek than a fantasy one (which can be another reason why I'm not picking up Witcher 2).
Overall, I have to say, a game that has a female lead or gives me the option tends to be much more interesting and engaging than ones that are no option, male lead.