A lot of the characters I play in games are female, though I do play male characters from time to time. I've never given it any thoughts. I mean basically it comes down to esthetics: if I'm going to spends hours a week playing and looking at an avatar, it might as well be pleasing to the eye.
Over at Terra Nova, a great blog on virtual worlds, there's a very interesting discussion (Terra Nova: Virtual Transvestitism: An Introduction) on this subject and some of the implications one has to consider.
I suggest heading over there and giving it a good read. It's worth your time.