I don't play games online, but when I play an RPG or something and design a character I often do pick a female character.
Truthfully there aren't a lot of games where the main character is a woman, and it's a good change, and being able to design my own character means she doesn't have to look like a porn star like in other games where you play as a female (i'm looking at you, Tomb Raider, and every fighting game ever made.) Call me a feminist or whatever, but its good to design some attractive, yet strong, not-so-huge-chested character. Not seen very often and it draws me into the game more because of that. It's also better to see the graphical capabilities used to make a female character rather than a male character, because it's better to enjoy their eye candy on a girl and not a guy.
But if its a game where I feel like i'm going to be hugely immersed in the experience then i'm more likely to play as a guy, better to put myself in his shoes.
If it's a silly game like Saints Row 2... Well in that particular case i'm a transvestite with a 5 o'clock shadow and a deep cockney accent.