I'm male and I often play as a female, but depending on the game or who it's from, I may have different reasons for it.
Examples, Oblivion, Fallout, and Fable 2, I played female characters thanks to me having a pool of original characters and I wanted to see some of them "come to life" in a fantasy setting (though, apparently, there's no such thing as a fair-skinned Redguard for the former). If I'm playing a game from the mighty BioWare, then my female characters are there for me to experience the story from a different perspective in addition to them "being alive" (and in the case of Mass Effect/2, Jennifer Hale is just spectacular). Example of that, I didn't know just how much sexual innuendo there was in the game unless I was playing as a male Jedi in KotOR 2 (goddamn you, Kreia).