I have a few times, but usually for the reason of opening up the alternate playing options that only the opposite sex provides. As in:
Mass Effect, Fable, KotOR I&II, where having a pair of breasts affects the events slightly.
I concede, I have played as a girl just once for the hell of it. But what can I say, staring at a girl's backside for forty hours is far preferable over staring at a guy's.
Every other instance, I have played as the closest representation of how I would look in a video game (pale-ish, tall, and with a hat that looks like Yahtzee's).