I always play a female in WoW, have one from each of the Horde races.
I like to play what I am I guess, if im playing games where I can choose the sex, Dragon Age, Mass Effects FemShep for example I will do.
I think for me, it allows me to feel a bit more immersed in the game, I think that the female characters tend to look better too.

That being said, if you wanna play the opposite sex then go for it! Its just down to personal preference. I have a guy in my guild who's mains are a beefy (pardon the pun) Tauren DK tank, his other main is a pretty Belf female Priest. When I asked, he just said its down to aesthetics. In his mind, a Holy/Disc priest is fitting to a delicate feminine frame. The opposite with the DK. Some people left the guild once they found out he isnt a female though having only seen the Priest which kinda sucks as he is a genuinely lovely guy.