I speaking of any game where you make your own protagonist, whether Mass Effect, Dragon Age, Saints Row, etc.
For me (as a guy) I always make a girl, because I'd much rather stare at an attractive character (to a straight male) as opposed to a traditional videogame "action dude". For me, this is what makes a game like Saints Row genius, as if I was just a typical gansta guy, it would be boring, but as a female its genius.
However, I go against this in cases where a game has romance, then I'm a guy (since i don't care to romance guys, unless you can be a lesbian (or there are Asari available as romance partner).
That said, in an rpg with choices like Bioware games- I always start with an evil male character, and then usually play as a good female for the second playthrough.