I prefer playing female characters for a lot of reasons. Primarily, my preference is visual. I would rather watch a female character fight a battle than a male character. The feminine characteristics of their movements and overall aesthetics are much more appealing to my eye than the more masculine traits portrayed by the rest of the cast.
I am most drawn to complex, multidimensional female characters with some depth rather than many of the 'token female' characters in a lot of games (like Peach). My main is Palutena for these reasons, and as soon as Bayo gets here, she will take that place and shift everyone else. Bayonetta is one of the greatest female VG characters of all time and I can't wait for her to be released.