There are some exceptions -- I like playing Nightmare, who is male, in the Soul Calibur series, due to his moveset -- but absent broader gameplay considerations coming up, I'll default to a female choice. I'd rather look at the female character through the course of the game.

considers

I play very few multiplayer games. The last time I was playing a 3D multiplayer game much was a long time ago, probably a Quake 2-based Team Fortress-style game, and then I played a male character, an engineer, because of his role.

I haven't played MUDs for ages, but there I generally played a male character.

Sometimes games attach some sort of gameplay benefits on a gender-basis (e.g. male or female characters have slightly different stats or characteristics), and then I'll sometimes choose the main character's gender based on that, but that's become less-common, maybe not politically-correct. Mount and Blade: Warband does that -- it's a medieval world and male and female characters have significantly-different roles there; there I'll play a male character. The Fallout series had a long tradition of having the Black Widow/Lady Killer perk work differently based on a character's gender; it's generally advantageous to play a female character there.