I play as a female in most competitive games with the exception of SSBB (Luigi). In Mario Kart I use Rosalina w/ wario bike. In the Soul Calibur series I have always used Xianghua. In the Street Fighter series I have always used Chun-Li.
I used to play MMOs when I was younger and I always played a male. For some reason it doesn't seem right in an MMO to gender switch. But when I'm schooling people, I like to do it as a female.