I'll always do both eventually over multiple playthroughs, but for the most part I tend to gravitate towards playing male characters, even though I'm female. It's mostly for aesthetic reasons, like wanting to play as a character that I find attractive, or wanting to avoid the bikinis, dresses, or armor with boob curves that females characters tend to get forced into. But if it is at all possible to make a female character that actually looks dignified, I always appreciate it, and I'll usually go for that sort of character for my second playthrough.
On a side-note, you know what I hate in games with character customization? Having non-armor clothing options that magically turn into dresses and skirts on female characters. Why can't girls wear pants, or guys wear dresses? It's stupid, and it boggles my mind that freaking Saints Row is more inclusive and mature about this sort of thing than Fallout or Skyrim.