I prefer the female Shepard, by a large margin. My first time playing Mass Effect was as male Shepard, and, in a doomed attempt to recapture the experience I had the first time, so was my second run. My third time, however, this time as woman, turned out to be a much better experience.
The male Shepard is essentially your run-of-the mill action hero: white, in his 30s, an army guy, and full of not always witty or appropriate one-liners. He's the guy you find in every second game and every second action B-movie. He's pretty boring. Now I know that protagonists are deliberately designed to be somewhat bland, so as to make it easier to self-insert, but that just didn't really work for me in Mass Effect. Mass Effect is a game that touches upon deep questions of morality, of life, death, and love, so in order to identify with, to self-insert into a hero, he just needs to be more of an intellectual character. He needs to give me the impression that he thinks about those questions too. And he definitely doesn't make a joke to his love, after recapturing her home planet for her long-exiled people, despite great losses, in the middle of great, desperate war: "Claim it fast, it's a buyer's market".
Now the female Shepard is, of course, just the same, but at least she's a woman, so she's already a much more unique character. Yea, I realize, a bad-ass action girl is quite the trope too, but it's not nearly as pervasive as the male counterpart. And I guess the unstoppable-yet-ultimately-unfulfilled desire to self-insert isn't as strong with her. And of course the voice acting is somewhat better too.
