There are various reasons why I would play female characters in video games.
Sometimes, there is no choice. Metroid, Beyond Good and Evil, Silent Hill 3, Tomb Raider, in those games, you just have no choice unless you want to miss out on a great game.
Then, there are games where you can choose, but the female character is just the better choice. Super Mario Bros. 2 (Doki Doki Panic, not Lost Levels) comes to mind, where the princess can levitate, the three guys can't. Resident Evil is a lot easier when you're able to pick locks.
And then there are games where you are free to choose. I've got to say, most of the time I choose male characters, just because it's easier for me to relate to them. There are exceptions, though. I've replayed both Knights of the Old Republic games with every possible constellation. Male light side, female light side, male dark side, female dark side. In beat'em ups, I tend to play all the characters a bit, I have no favorite fighters (except for Dhalsim in Street Fighter, because of his range).