If it's a game that has online interaction (like MMOs), my character/avatar will always be male, if only so other people don't treat me differently because of gender. Seen it happen way too often in FFXI and such.
Offline games however, I'll occasionally pick female for a change, depends on how much I like male model designs I guess. Nothing wrong with going the extra step to up the enjoyment while playing games :x
I don't really care about whether I'm playing as a man or woman; even some of my favourite games have female leads (Primal and Okami, for example), but if I'm given the choice, I'll always opt for male, especially if it's a character creation type thing. Just feels more natural to me.
Say we are talking about the Persona 3 Portable then likely a person playing it has already done the main story on the ps2 version so playing female this time is just to see the alternate story line/social link issues.
Fallout 3 is where I can imagine picking a female over a male just because most opponents, it seems, are male and as such Black Widow will be in effect much more than Lady Killer. There are a few games like this out there where the perks females get are more optimal for a person's preferred play style.
In the case of a few other rpgs and the like there tends to be female exclusive armor that has better effects/stats than what both genders can wear also comes to mind.
In MMOs then there are numerous reasons for it not least of which is role play (in various interpretations of the term), scamming as was mentioned, and the ever popular (fratboy) answer of preferring to stare at a female over a male.
Personally, I will chose male most every time unless there is the perk/armor condition mentioned above. I occasionally will go back and play a female like I am with Shepard in ME at the moment mostly because I get bored after awhile of the male's voice as much as anything or am curious about story line alterations. I also love to see the various armors and the like and study how different they turn out based on character model. ((Looking at you Skyrim and Oblivion. Those outfits are way different depending upon gender.))