I always play Male in the majority of games that offers the two genders (Saint's Row, GTA Online, Skyrim, Fallout 4, New Vegas and others).
About playing with females in RPG Games: I don't know why but it's kinda hard to me to be immersed by a female character.

Always has to be male for me! I have never been able to play a female in any game, let alone one where I get to make the choice lol I just can't relate to the character at all, guess my imagination just sucks or something.

I have to agree with Ocelot on this one. Usually role-playing a character takes the "You have to relate" thing out but I just can't find myself playing a female character, I mean much kudos to those that can but in reality I never found myself able to do that.