Depends on the game. Generally, I go with a male character that is somewhat like myself in appearance. The main reasons that I play a female character given the option are:

• There is some difference in the game or story based on gender (ex. Games like CP2077, though, generally not in my first playthrough. Or, the voice talents of Jennifer Hale in Mass Effect.)
• The male character was bodged in, unnecessarily (ex. AC: Odyssey, which wasn't even supposed to have a male lead until a sexist Ubisoft exec forced it - the dialog i, just awful)
• Sometimes, it is just being a bit thirsty.