Used to always play males, but 2 titles changed my mind: dragon age and...a dance with rogues, the nwn mod.
Being quite fond of dragon age, naturally replayed it with all the origins, and when doing the city elf start, having a female character just seemed to fit the origin better.
For a dance with rogues, which despite mentioning it second was my first experience with playing female characters...Oh boy. Well, as much as most here will laugh at it, imo it did succeed in making me feel like I was actually playing a female with distinctively female problems and situations. The first time I wandered into a dark alley to get jumped by brigands who then raped my pc was an eye opener. It shocked me as a kid (as did getting raped by my "rescuer" in the friggin intro) but it made sense, I was a 18+charisma princess type going to the poorest and roughest area of town happily darting into secluded dark alleys, wtf did I think was going to happen? Choices and consequences.
Didn't even mind how often my pc got hit on by all sorts of men, as I felt more like a surrogate father trying to get the best outcome for his daughter then it being a type of self insert. A distinction I emphasize because when playing a female character there will always be a disconnect since well I'm not a woman irl, so I always feel a degree of separation, thus making it 100% not gay when considering which man my princess pc should end up with.
These 2 examples opened my mind to the possibility of playing a female in games, but only when the game actually treats gender as something that matters instead of them being gelatinous blobs who are completely interchangeable and treated the same by everyone else. It's rare in most games unfortunately, but for titles like fallout 1-2 or arcanum, playing a female is actually worth it imo (attractive dumb bimbo run ftw, just watch out for myron!). Actually now I think about it, will have to check if Age of Decadence treats genders differently aswell.
TLDR: Mostly play males but am down to play females when the game treats gender as important. Sexism in rpgs is great!