Yep, I tend to play female characters whenever I have a choice. Just because. No real reason, except I think that female characters, if strong and independent, are much more interesting than male ones. I always tend to use female protagonists in my own writing, for example, despite being male myself. When it comes to games, I like to provide in my head a sort of female role-play, just imagining the character's own thoughts or whatever during the game.
Right now, I'm using a female character in Pokémon Platinum and in The Secret World, I've also used a female character in Halo Reach and ODST and in Oblivion and Fallout 3...