I have a couple of 'recurring' characters who will always feature in any RPG I play (one definately and the other if there is sufficient replay/class difference/impetus to have a go)
The first is Bella, a default warrior/rogue hybrid (martial skills plus archery, some sneaking, some armour, whatever that rpg uses, some spells if they are there at the start, a decent amount of charisma to do the talking with, that kind of thing). Bella Shepherd starred in my Mass Effect trilogy, Bella Lapanzer got me through first play through of Oblivion and Skyrim, she is also in Dungeon Siege (both of them), Neverwinter etc. She started life in Everquest (lvl 55 Warrior, DRo server for a few years back in 2001-6). She's the bold 'lawful goodish neutral' character, is pretty community minded and usually gets to pick all the good options that still allow her smash things in the face that annoy her.
The second is Tzatziki, the 'everything else' option. Usually a spellcaster type though may also have other things bolted on. He's the 'chaotic evil-ish' guy, often (if able) the non-human and he's the game breaker (maxed out stealth, maxed out magic, whatever I havn't done to death already). In EQ he was an Iksar Shadowknight (only got to about level 20something, again DRo server 01-06)
Those two usually allow me to try everything an rpg has to offer, and its usually pretty easy to drop a Bella-type character into any RPG going.
When it comes to Pen and Paper, I have no qualms roleplaying as a woman, though I usually leave sexuality at the door (it makes things generally easier). When it comes to computer games, I'll admit as much as the next man that its usually because if I am having to stare at something's backside for hours on end as it jiggles about in front of me on screen, it may as well be female.