Depends on the game, and the character, and how its executed.
Imagine you're playing Mass Effect though, you save the game, and come back the next day. You load your save, and your character is completely different, and gender swapped. You wouldn't be impressed.
Same goes for any pre-established characters. Don't gender swap. Its lazy, its stupid, and it throws continuity errors in everywhere.
Say you've got a complete non-character like Doom-Guy though. No, even Master Cheif isn't a complete non-character. He's got a plot to him - as does Link [Not necessarily a plot 100% there for either of them not to change gender, sure the laws of the Zelda universe and the pattern of reincarnation could suddenly change from what's been going on the last few thousand years, and Master Cheif could just get a sex change 'cause reasons, but plot wise they are canonically male, and some form of a continuation of the same character. Throw in a new character, or use an already existing one. Don't just gender swap for EZs]. Complete non-characters... Who gives a fuck.
Honestly, though, I don't want gender swapped characters in general. I want good, new female characters. I mean, I want more games like the old Rare classics today. I don't demand Call fo Duty turns into a Rare classic styled game, and I wouldn't buy it if it did 'cause that'd just be insulting and stupid to the people who love CoD. Likewise, I don't take changing characters that are already established all that well. Its lazy, stupid, and trying to pander to another audience at the expense of existing fans. Get a new character, and make them a female, and make them good. Its more respectful to everyone, and better for everyone.