I don't play MMO's but if I did, I'd probably go for a male character unless there was an awesome female-specific class that I was interested in using.

Fighting games are a different story. If anything I prefer using female characters in those. I like my characters to be somewhat nimble with all sorts of stances, counters, cancels, mix-ups etc. which usually ties me to a female character as my main (or an effeminate guy).