I'm fine playing either gender. I am male. Sometimes I'll purposely pick a female character if it's the type of game where you usually don't see a female lead because it's refreshing and different.
That's kinda like why I always seem to play a black male in the FallOut games. You don't get a lot of black males in situations outside of crime focused stories, and that is crap.
I seem to like either quick, agile fighters, which means female characters. If I'm picking a male fighter it's usually a grappler or some big bruiser. I do like Seung Mina from SC because she wields a larger weapon, and ladies usually get twin short swords, or fans, or something more typical.
I like Vanessa from Virtua Fighter 4 because they made her body builder muscular with a very direct personality/sterotype masculine. It made sense for the character, the fighting style used, and made sense for a fighting game in generally. I thought "Finally." Then they went and made her much more traditionally soft and feminine in the next game. Lames. There's plenty of girls like that, Vanessa brought something different.