I tend to choose female if I have the choice if for no other reason that no such choice had existed for much of my time playing videogames.
I didn't have the option in Fable but now it is there in Fable 2. It still isn't there in the single player Grand Theft Auto game modes (maybe it would cause a scandal if there was equality in the dress-up mode...pardon, 'clothing customization mode' if it were identical to that which was in GTA: San Andreas) but Saint's Row 2 had it. I play through with both genders by the time I'm done with a game, anyway, especially if it has unique love story side-quests for each gender. Carth Onasi doesn't swing that way.
Maybe when female characters are common place, I'll just go for whatever suits me best for my playstyle or sheer aesthetic value. When that day comes, if there is an option to play Indiana Jones in Tomb Raider, I'd likely take it without hesitation. He's the better character, after all.