It depends on the style more that the gender. For fighting games I tend to learn the really fast, combo happy female characters and the complete opposite all power male characters first. All the males and females in between don't interest me as much at first.

I liked Makoto from Street Fighter III because she was a slow moving, strong female fighter. You don't get that too often.

For table top, pencil and paper RPG's I switch back and forth between male and female characters. Just depends on my mood.